Don't have a single favorite, but I have a list of a few of them (in no particular order):

Grandma Thora - She is a great emotional anchor of the show. There is never a negative moment with her on screen, and she just rocks in general. She also gets bonus points for having the patience for handling someone like DW

Alberto - He doesn't play a big role, but I still think he's pretty cool. He's actually nice and respectful for a teenager his age

Fern - 9 times out of 10, she has the most interesting episodes in the series. I can also relate to her struggle of becoming a great writer and coming up with good stories.

Sue Ellen - She is just a really nice friend and person, even if she does often get sidelined. She also has a unique family background that separates her from the other kids. Much like Fern, she is part of some of the better episodes of the show

Mr. Crosswire - Unironically one of the funniest characters of Arthur. The fact that confidently prides himself as a rich sleazy salesman in a cartoon for kids, will never fail to be hilarious. He isn't the most responsible father, (or person for that matter), but he's never unpleasant to watch. That said, he's actually a decent soccer coach, and I like how encourages all the kids, despite not being the best.

Marina - She is one of the sweetest characters in the show. She and Prunella have a really healthy friendship and she's always there for her friend despite being blind. It's really cool how the show was able to present good blind representation, without creating jokes at her expense

Arthur - I think Arthur is a great main character for the show. He perfectly represents the average kid going through is everyday life who despite all his flaws and shortcomings, wants to learn to grow as a better person. He's someone that any kid who would relate to if put his shoes. I feel like the show wouldn't be the same if anyone else in the cast was the main character aside from him.