My favorite Cobra was The End. No doubt about it. Snipers are always the coolest. Watch Saving Private Ryan, and you'll agree that Barry Pepper is totally awesome in that movie. As far as your actual questions though, I'd say The Pain, since I found him the easiest and The Fury, since he was definitely the most insane of the five. Great game, by the way. I knew a lot of what was ging to happen, but the ending didn't even totally sink in until the second time through. Subtle, yet obvious, when you play it through again.
Sorry about that you ol' Brit, but you'll be glad when you have it. Righty-o, eh Maxico?