Mai Shiranui. "Nippon Ichi!" Really though, I play a little bit of everybody, for variety's sake, but, the first time I play a new KOF, or if I haven't played a particular game in months/years, I always go with Mai as my first pick.
Iori, untill the games he lost his flames. I usually play the Orochi saga (more KOF97 than the others) and I think he's perfect due to my hability, because he can defend his position easily. And for attacking, he's pretty good too!