Hehe... It's quite a serious debate for me, as I rather liked most of the sin characters... Lust and Greed take first place for me, I'm afraid. I of course have my reasons for everything, so, Trying to keep all spoilers to a minimum... All references are anime, as I haven't read the manga...
I rather liked Lust's character because she had quite a lot of depth as a character. I mean, at first she just seems to be like, vampire-biatch. But later, when her memories start awakening and she starts having doubts about what she's doing, she becomes a tragic character (and while all Homunculi have some sort of a tragic past, very few of them actually turn into tragic characters later.) and, well, I actually found myself pitying her, in spite of all the atrocities she commited.
Greed... because he was, well, the only one of them who was at least halfway decent from the start and didn't need to have his memories reawakened to become halfway decent. Greedy, but decent. He didn't last long in the series, of course, but, as they say, it's always the good that go first. xD
His transformed form was bloody nifty as well, and I rather liked the explanation to it. ^^;
Gluttony is just effing hillarious, too. He's also the only homunculus that we have utterly no idea who - or what - the heck he was before he was ressurected. Why, for that matter, would anyone try to ressurect him? Methinks that Gluttony was a failed experiment of creating a weapon of some sort via alchemy. He's the least humanlike in appearance, has a voracious apetite and has quite a major dependency on Lust to do all the thinking for him... Something tells me this is worth looking into somehow.
Wrath creeped me out quite a bit when he went all psycho under Envy's influence - and even before. He had the potential to grow into someone, well, less... Crazy. I'm hoping that with Envy's influence gone, he may actually evolve into a character with greater degrees of depth. Of course, we may never know.
Sloth was extremely... bland. I mean, I'd expect that, with who she actually was, it would create a lot more emotional tension than what it did (not that she didn't try to manipulate people with what she was...) If she was an actual live-action person, I'd say she could use some acting courses (xD). Although I rather liked her water-based abilities... Gave me more than a few ideas.
Envy... Well, who he was was even more disturbing than who Sloth was. His chosen appearance was even more disturbing (PALM TREE HAIR BISHIE OF DOOM!). Funny thing is how he was part spoiled-rotten brat and part vicious murderer. It doesn't help that he was responsible to the death of one of my favorite characters in the series ever, either. Envy was just plain psychotic. And as far as psychos go, I've seen better.
Lastly... Pride was, honestly, just waiting to happen. He's handy with a sword, but that's about it. And the eye just creeped me out.
That's about it, then. ^^;