I adore the show.
It's hard to pick characters, as I find all of them very interesting.
It might be more revealing to mention the ones that drive me crazy and that I relate very little to - Hugo, Michael, the dentist (older guy), hmm...that may be it as far as ones that I really did not like. Oh, I didn't particularly like the 2 siblings from the first season either. They were a bit too whiny and snotty and pampered. Oh, Charlie rather annoyed me too.
One I find myself relating to less as time goes on is Sun, but I don't dislike her. And I didn't dislike the policewoman (Anna Maria? What was her name?), but she's quite different from me so I can't relate much to her either.
John Locke is someone I have mixed feelings about. I enjoy his character, but he's quite mystical and a little flaky or something and I can't really relate to that aspect.
Ben is intriguing. Of course untrustworthy, but I still like him.
I like Sawyer, Kate, Jack, Sayid, Juliette, Desmond, Faraday, and Ben the most (and not in that order - those are just all of them that I particularly like). I suppose that means I relate to bits and pieces of all of them! And I feel like I 'understand' them. They make sense to me.