Argal Tal was awesome, was one of my favourites too. sucks what happened. after reading more of the heresy I got to say I really like Sevatar. and staying on the theme of bad guys Marduk and Gol badur are pretty cool. (forgive the spelling)
I think Garviel Loken is probably my favorite character, especially after Istvaan. I like Nykona Sharrowkyn too even though there hasnt been much about him.
i too like(ed) garviel loken, but from the heresy series one of my favourite characters would be kyril sinderman. a scholarly, respected human (relatively respected) amongst astartes who have/had a significant superiority complex. kyril was respected by more than a few luna-wolves and my heart went out to him when he, and the rest of the remembrancers, were unceremoniously killed.
Kyril Sinderman survived the massacre - he escaped with Mersadie Olliton and Euphratie Keeler in the Eisenetein. He was last heard of traveling Terra with Keeler touting the cult of the Emperor.
oh yeah, i completely forgot about the few who escaped :) weren't they helped by 'the half heard' iacton cruze?
Space Marine - Mephiston, Lord of Death
Non-Space Marine - Sly Marbo
I have a favorite character for every army
Chaos: Ahriman (Kharn and Honsou are also worth mentioning)
Imperial Guard: Creed (A great army needs a great strategiest)
Space Marines: Cato Sicarus (Don't know why I just like him)
Extra: Dark Angels: Cypher, Blood Angels: Gabriel Seth (My favorite character),Space wolves:Bjorn
Dark Eldar: Lilith Hesperax
Eldar: Taldeer (From the Dawn of War games)
Orks: Gorgutz (also from the DOW games)
Tau:Farsight
Necrons:Nemesis Zahndrekh