"Favorite" is kind of a tricky word. I am fascinated with all sorts of historical figures I don't actually like per se and certainly wouldn't invite to dinner. One of the major exceptions is Niels Bohr: I have an overwhelming affection for Niels Bohr. He occupies a similar mental space to some of my favorite great-uncles and great-great-uncles. You just want to give him a big ol' physicsy hug. Well, maybe you don't, but I do.
Risto Ryti is something of favorite of mine, and the Marshal, too. (Marshal Mannerheim, I mean.) That's a much chillier regard, though: no hugs. Actually I have a lot of respect for a lot of Finnish politicians, given what they had to face, and without Risto Ryti, Finland could have turned into another fascist country, both in terms of general ideology (taking in refugees from Nazi Germany and Soviet Russia included) and in terms of losing their elections. They didn't. That's worth a lot.
Both Fabergés, father and son. Because it's tinkery and fiddly and neat. Because if you're going to work for a grand dictator, you might as well get him to fund something nifty. I'm also fascinated with Louis Comfort Tiffany just now, but that may pass.
King Christina. Yes, I do too mean "king." Drottning is a queen consort; Christina was kung, not drottning. Despite the abdication. Also Axel Oxenstierna while we're at it. Also Richelieu, a bit, in more a fascinated than a fond way.
Aud the Deep-Minded, for sure, and Thorbjorg the Volva, and Freydis Eiriksdottir:
Freydis came out of the camp as they were fleeing. She called, "Why do you flee such miserable opponents, men like you who look to me to be capable of killing them off like sheep? Had I a weapon I'm sure I would fight better than any of you." They paid no attention to what she said. Freydis wanted to go with them, but moved somewhat slowly, as she was with child. She followed them into the forest, but the natives reached her. She came across a slain man, THorbrand Snorrason, who had been struck in the head by a slab of stone. His sword lay beside him, and this she snatched up and prepared to defend herself with it as the natives approached her. Freeing one of her breasts from her shift, she smacked the sword with it. This frightened the natives, who turned and ran back to their boats and rowed away. (Eirik the Red's Saga)
I'm fond of historical figures from non-northern climes, but The Mark of the Sea Serpent and Sampo have eaten my brains, so that's what you get today.