Had to go with Mal as my #1 but would follow up with River as a very close second. I love all of these characters and it's very rare to find a show that you can say that about the entire cast. Jayne, Kaylee and Book would be tied for a close #3 with Inara, Simon, Wash & Zoe closely following at the rear.
I think though that Zoe, as a character, we really didn't get a chance to see much of who she really was/is. I'm sure we would have had some episodes that were about Zoe's character if the show hadn't been canceled so soon after it had started. Zoe's storylines always more involved Mal or Wash with her being the secondary character. So that could indicate why she doesn't jump out as a favorite. Same for Simon - we do get to see a lot more of his character's history via the flashbacks but it is more about River than Simon. And Wash, although lovable, was mostly for the joke scenes. With the exception of War Stories where he was fantastic in a more serious episode.
Jayne wins hands down for the most fun character on the show and he is great on Chuck as well!