Paranoia Agent is my favorite anime. A supporting character with only one episode dedicated to him resonated with me the most. Yuichi's unraveling sanity was my favorite episode. I strangely find myself thinking about it now and then at random, even years later.
Buuut, it's hard to give favorite status to someone with 24 minutes of screen life. I choose Shinji Ikari from Evangelion. I really like him even though he is by design not remotely likable. He is interesting more than strong. That's a risk for a main character. I'm also a pussy and would react very similarly to such terrible situations, especially at his age.