I'm kind of new to MUEGN as well, if only due to how I'm finally starting to actually get into it after being on and off of it for the past couple of years, but I'd have to say that my favorite character so far is S.Y.D.'s version of Kung-Fu Girl, "Another Kung Fu Girl Z". Not only because I really like her playstyle (as well as the tons of specials she can do), but also because of just how much personality and character her animations and spritework show; sure, there are a bunch of characters in MUGEN that exhibit a lot of character and personality, but for most of them you can go back to the source material of those characters and understand them from that, to the point where a good portion of people who download said characters would already know how those characters are supposed to be like prior to downloading them, whereas on the other hand KFG is a completely original character for MUGEN with no source material to go by, and yet despite this you can tell exactly what her overall character and personality is just by her actions alone. I don't often see that occur with that many other original characters for MUGEN, at least not to the extent of KFG, and because of that she's my favorite character in MUGEN as of this moment.

(Also, apologies for the paragraph-like answer, I just wasn't sure how else to properly explain why I liked her so much)