I seem to like the best the ones who are proud and hot-tempered but good-hearted and loyal, as well as good leaders. No wonder my favourites include such characters as Maedhros (who died, btw
), Boromir, Galadriel, Gandalf and Húrin. All of them are heroes, but they all have their flaws: Maedhros keeps the horrible oath he swore, Boromir is seduced by the Ring, Galadriel and Gandalf are tempted by the Ring's power to do good, Húrin's pride (in a way) causes the misfortune of his children and his bitterness gives out the secret city... A hero is not a hero if he's flawless and thus boring (although Finrod Felagund makes an exception here, he's just cool!
)