Hayley Atwell's Peggy Carter belongs more to the television portion of the shared universe, but she's awesome enough to make you wish for another film set in the 1940s so that she can join in the adventures.
Does anyone not love Groot? It's a scientific fact: Groot's the best.
In general, the participants in the Marvel movies seem to be having a great time (as opposed to the participants in the DC Universe, who are too busy glaring to have fun), but no one ever seems to be having a better time than Tom Hiddleston when he's playing Loki.
This is a tough one, because Cap is actually my favorite character from the shared universe and I think the Captain America movies are the best in the series, but...
The Marvel Cinematic Universe could also be called "the house that Iron Man built." As played by Robert Downey Jr., the character became an instant movie icon, and Iron Man was the first great movie in the Marvel movie canon. Hard to top that.