Favorite character is Midna from Twilight Princess. Her design is just so weird but it works. She antagonistic towards the player but I can't help but love her. Your friendship grows throughout the game until that one incredible shot together. And the surprise ending is both fun and tragic.
EDIT: this shot.
https://www.deviantart.com/hayato-01/art/Link-And-Midna-screenshot-TWILIGHT-PRINCESS-517986893
Favorite relationship is Marin from Link's Awakening. She's wonderful on her own, but then she shares so much about her life on the island and her dreams and grows even deeper as a character. I feel a stronger bond between her and Link than any incarnation of Zelda.