The title is self-explantory.
I'll start of first : mine was Haru Nanase (Free!)
Aika Fuwa from Zetsuen no Tempest, it was my 2nd anime and my favourite for 4 years after I started.
https://anilist.co/character/62581/Aika-Fuwa

My earliest memory of having a favorite was Ash's Totodile from the Johto season of the Pokémon anime, if that counts. I think for a proper character I liked a whole lot, it would either be L from Death Note or Alphonse from Fullmetal Alchemist. I can't remember if I watched Death Note first or FMA first ¯(ツ)/¯
Light Yagami from Death Note. It was one of my first anime as a normie weeb, but even then I was blown away by the complexity of his character. His twisted sense of justice and terrible mistreatment of the best girl (Misa) aside, Light is just very compelling. He's not my favorite anime character anymore, though. I don't even know who is. I don't even remember the last time I enjoyed an anime without getting pissed off.
Does Natsuki from DDLC count?
If no to above, then my first ever favorite anime character is my waifu AKA Kaoruko Moeta AKA Kaos AKA the girl that is splattered all over my profile.
However, legit until that anime aired, Natsuki from DDLC was basically the first anime esque character I remember really liking lol
It would be Akame from Akame ga Kill!
Akame ga Kill