Mara Jade in the original Zahn trilogy is my favorite EU character.
as for villains I like Vader and Fett from the oot. forget the prequels they turned fett and vader into wimps and took out the mystery of their backstories.
the fact that they redubbed fett in the 2004 edit of empire was enough to make me want to throw the frigggin dvd in the trash.
Empire made Han Solo into a great character and jedi pretty much went ahead and ruined that.
His cynicism and world wearyness make him a believable character , and more identifiable to me now. I identified more with Luke as a child and a young teenager.