My brothers, and I, first got into SCII, because of Link (needless to say, we got the GameCube version)... so Link was my first favourite character... followed directly by... Yoshimitsu!
Yes, Yoshimitsu was my first official SC favourite character... although, I called him, "that clown guy", at first. ^^;
But he certainly struck me as interesting, compared to all the other characters, who I hated at first (I tend to be like that, or at least, used to - by the time I got into Tekken, it was easy to adjust to everybody, because of all the years of SC, I guess :P)... then I expanded my interests to other characters, such as Nightmare (or should I say Siegfried... since I prefered the 2p, and 3p, outfits, which were Siegfried anyhow), because I was interested in his fighting style (as well as knowing that he was voiced by Link's voice actor... we used to play the game always in the Japanese language, hehe :P).
I really got into playing SCII one night when there was a Christmas tree lighting in town - I was too sick that year to go out, so I stayed home; and decided to play SCII... I played mostly as Link, Nightmare/Siegfried, and Yoshimitsu, in Team Battle. That night was actually the first time playing as Nightmare/Siegfried, and I added Yoshimitsu to the team, because of being my other favourite SC character (later, I would say it was because they all shared the same voice actor, lol :P).
Uhh... this is going to sound weird, but... I used to be haunted by Yoshimitsu's English "death cry" in SCII - I'd be going to sleep, and I would think I heard Yoshimitsu dying (while half asleep, of course), and wake up startled... and I guess worried about Yoshimitsu... that was rather silly of me, and was back when I was first playing SCII.
That was all back when I was sixteen, I think, I can't remember correctly... it took a few years to really get into Soul Calibur though. My brother got the Yoshimitsu fanlisting over at TFL.org, and that was when we really got into SC (in... 2008... I think)... and of course, Yoshimitsu led us into Tekken!
...wait, damn, Yoshi's leading me off subject.
Uhh... my favourite SC characters are: Yoshimitsu, Siegfried, Mitsurugi, Raphael, Amy, Tira, Zasalamel, Yunsung, Seung Mina, Hwang, Kilik, Maxi... I guess I like most of them, but especially Yoshimitsu, Siegfried, and the Sorels (Raphael, and Amy... I can relate to them - particularly Raphael's family history, and Amy's outlook on things, sometimes - even with the vampire qualities... don't worry, I don't really think I'm a vampire, but I do stay up strange hours, and hate sunlight :P)...
...arrgh, sorry for the long-ish post... I guess I feel talkative.