Woah, really, really hard question
Considering there are at least three types of characters Nolan created in his movies, I will treat them separately.
First, there are the truly good, benign and positive characters, my favorites from this category are Bruce Wayne and Jim Gordon. I don't think I have to comment on Bruce's character, the movies tell you everything. I really love Gary Oldman's portrayal of Gordon, because he always gets to play truly psychotic and villainous characters, and still he manages to make the lieutenant (now commissioner) one of the most loveable characters in the Batman-films. (Off: Gary Oldman is a damn good actor.) In the Burton-, but more in the Schumacher-movies Gordon's character was almost left-out, like he weren't even there in the story, and that was pretty annoying. But luckily Nolan got it more than right.
Then, there are the truly evil antagonists. Will it be a surprise if I say the Joker? The Joker isn't just the best antagonist in Nolan's movies, I think he's one of the best villains of all time. Alfred sums it up the best: he just want to watch the world burn. He can't be bullied, reasoned or negotiated with. He doesn't want money, fame, nuclear weapons, nothing. He just want to DESTROY and make CHAOS. That's why the Joker is incorruptible (how ironic that the Joker said to Batman the same), and that's why he is - in my opinion - the best villain of all time.
And I think the third category is the most exciting category, because it's the category of the mixed characters
I couldn't find a better name for it... Cobb, Angier, Harvey Dent. These are the characters who are good people deep inside, but lost their way. Angier becomes in The Prestige a real asshole, even though he was the more sympathetic guy at the beginning of the movie. I just love this transformation! It's really interesting that at least 3 Nolan-characters are motivated by revenge (Leonard, Bruce, Angier... oh, and Harvey Dent, so that's 4), it's truly a complex question. The whole sequence of Batman Begins where Bruce is trained by Ducard they talk about revenge and why Bruce never avenged his parents death, and I really love how Nolan shows us the different outcomes of taking revenge in different movies: Bruce at first wanted to avenge the death of his parents, but "luckily" he didn't have an opportunity, and later he could make the difference between revenge and justice. Revenge was the thing what made Leonard feel like he's alive, without the motivations he would be only a vegetable sitting in front of his TV, watching commercials like Sammy Jenkis. Sadly Harvey Dent and Angier fell into the trap of revenge (quite literally), they truly lost their way through the different stories.
And Cobb is exciting, too, because we could all be in his place. I mean all of us made mistakes in our lives which we later regretted. Sometimes these were really big mistakes, but we had to live with it. Cobb's situation is the same: he made a huge, huge mistake, but he felt that he's got the right to make his life better. It's like Walter Bishop in Fringe
, sorry for bringing this up
But I think it's the same thing. In the past Cobb (and Walter
) were idiots, but I think (and they think it, too) that everyone has at least one chance to make their life better.