Sarah Jane Smith was great, as was Captain Jack, Nyssa (who was surprisingly good at adding a little bit of 'not from Earth' in her performance), Harry Sullivan, and Turlough.
I'm no fan of Rose, or Jo Grant, or Mel.
My favourite would have to be Amy Pond (and Rory was great with her, too), probably closely followed by the Brigadier (if you'd allow him to be classed as a companion), even though a few of the stories had his character either badly written, or shown to be little more than an idiot (which he certainly was not).
I'm hoping the new companion will be good, too early to tell with just one episode.
Edit: How could I have forgotten the brilliant Martha? I'd put her third, after Amy and the Brigadier.