Strangely, most of my favourites are men, rather than elves, and in order of preference:
1. Beren - the whole Beren & Luthien story, his quest for the Silmaril. Noble sacrafice, hardship and heroism - all the elements of a great story
2. Tuor - I love his whole story, and his role in the Fall of Gondolin
3. Aragorn - comes closest to the Dunedain ideal. (I love the idea that he was a hero in Gondor twice, and only Denethor knew it).
I once ran a bizarre time-travel campaign for a Third Age character in the First Age, which allowed him to meet various famous characters at that time. It was great crack!
“Maintain the mystery, and don't try to think unthinkabilities...”
Iain M Banks, 2003, on the Art of writing good SF.