My hands down favourite is reaper man, something about death on holiday and the Wizards dealing with a supermarket manifestation where they can't swear had me in tears of laughter, much to the bemusement of other train passengers.
Favourite characters would include Vimes, Detritus, Gaspode, Death, The Librarian, Nanny Ogg, Vetinari, Rincewind, the Luggage and Igor. Let's be honest though, you'd struggle to name any really bad characters!