Its hard to dislike any of the Muppets, but I don't have a favorite among the cast known as "muppets" that outstrips my favorite Jim Henson character, Ernie (though Grover is a close second).

Children's Workshop (and thus Sesame Street) started the year I was born and, despite that not being exactly uncommon, I always thought I was special because of that temporal link -- I learned to tell time when I was not quite 4 so I knew when to run back in for Sesame Street.  I watched Sesame Street well past the age when it would be cool to admit it because I found it endlessly clever.  As a family we would watch the Muppet show more faithfully than any other during that time frame (my sisters fav was Miss Piggy my father preferred the rarely seen Crazy Harry with Animal and Statler and Waldorf all tied for second, my mother never professed a favorite). 

That said, I have to agree with Chris_Pandolfi though, picking a favorite leaves a tinge of guilt.