For me, my favorite character from Shenmue 1 is definitely Nozomi. Her character shows a lot of emotion and seems real. Her English voice is also very well done.
In Shenmue 2, my favorite character is a tie. Ren because of the already mentioned qualities. And the guy from fortunes pier with the horrible teeth, he is at a stand. Solely because his teeth were sooo outrageous. Does anyone have a picture of him?