I'm not going to make a list; there's too many characters I love to narrow it down. Rather, I'm just going to list one name, one name that I find criminally overlooked and unfairly treated.
Theon Greyjoy.
Nobody seems to love Theon (fans included), and that's why he's one of my favourites. He's easily the most conflicted character in the saga, and one of the most memorable, constantly faced with impossible choices. He had to live up to the legacy of two great houses, an impossible task for any man, doubly so for this ill-prepared boy. His father-figure was his captor, his real father abandoned him as a child. The Starks and the Greyjoys were historical enemies and bitter rivals, with much bad blood between them, and here he was, being raised in the middle of this conflict; his adoptive and biological families pulling him in completely opposite directions. No matter what choice he made, he would betray someone, and be hated by many. Always trying to hold up the facade of power and confidence, but never truly having either. And now, the situation he's in... no one deserves to be treated like that.
Theon's story is one of constant hardships and undeserving hatred and blame, unfair choices and out of control situations. I can only hope it leads to redemption in the end.
Shoutout to Davos Seaworth, too.