[Saraphim]

My favorite in Lord of the Rings is Faramir, because he is the one who I connect with the most.

But if we're talking Tolkien on a broader scale, I must say Fingolfin. He challenged Morgoth for the lives of his people, even knowing that he might fail. And he kept fighting, when he could have run to safety. If that isn't an example of bravery, I don't know what is, even though his decision was, as Fangorn would say, a bit hasty.
I also want to say that although these two come out on top for me, there isn't one character in LotR who I didn't like. Tolkien wrote his characters amazingly well.