I loved 'The Wheel of Time'.
My favorite of the books I would have to say was, 'The Shadow Rising'. The one where Rand first goes to the Waste, and Perrin goes back to the Three Rivers. I really enjoyed Perrin's adventures back there, it was a lot of fun.
Perrin was definetly my favorite character because of his ability to talk to wolves. I would freaking love to be able to do that, I love wolves, my favorite animal on the planet.
I would have to say that my least favorite of the series is one that I have not even read yet. That being, A New Spring. Reason being, I was waiting for the next book in the series, and rather than continuing the story, he goes and makes a flipping prequel book. Arggh.
On a different note, the writer that Jordan's wife got to finish the series, Brandon Sanderson, is amazing. If you have not checked his other books, particularly, 'The Stormlight Archive, you really, really should. Great stuff, really really great stuff.