I'm not clear on the question being asked for this one. Is it a character I made but haven't every played a game with, or is it any character I've ever seen but haven't played as? I'm going to say it can be any character I've seen, just to open up the field. But I'm also going to say it can't be an NPC I created or used as a DM, because that kind of counts as 'playing' them.
There are a lot of good characters out there I've seen my friends create and play. There's Marcus (the Carcass), the human fire mage who couldn't ever get past 4th level (due to dying). Buster Pelgrande the backstab-happy halfling thief with his magical dagger "Spinethruster." Serpico, the Lawful Good Necromancer in Ravenloft just trying to keep his village safe from evil monsters and his family from the G'Henna secret police. Tersus, the scheming Lawful Evil mage/thief, leader of the local Assassin's guild and always sporting his signature magical red cloak he would use to escape trouble; the "Cape of the Montebank". There's Fignor, Fulthor, Drogar, and RustyGuts; the four dwarf warriors in our sporatic but really fun Warhammer Fantasy campaign. Those guys are like the three stooges but extremely violent towards kneecaps and groins. Wait, does Warhammer Fantasy count in the D&D Challenge? Yeah, I'm going to say that it does. Blog.
Okay, it is a really tough choice, but after careful consideration I've come to the following conclusion. My favorite character I haven't played in a D&D campaign is:
Later RatThrasher was actually played by people in the DM's gigantic dungeon crawl adventures, but I've never played him myself. He's my Favorite Character I Haven't Played.