Well, my favorite of all Tolkien's characters has always been
1). Gandalf,
so that's one. From LotR, I have also long been fond of
2). Frodo and
3). Aragorn,
but if I had to choose characters based on compassion, I would have to say
4). Namo (who would want his job?) and
5). Maglor (who seems to keep wanting to do the right thing, then gets suckered into the wrong thing because of pressure from his dysfunctional family -- a thing with which I can STRONGLY identify
).