The first one that comes to mind is
Remilia Scarlet, mostly because she reminds me very much of my old "Akemi" persona. Bluehaired demon? Check. Crazymaker? Check. Frills and lace? Eh, more a recent thing for me, but check. Part of a viral race (vampires) that she doesn't take part in spreading? Check. She's also basically known for being a difficult personality to deal with, but very good to her friends.
Obviously
Orin is a major one for me too. She's a kasha -- a type of nekomata specializing in carting bodies to Hell. I identify with how Orin is about something rather dark (Hell, power over the undead, ghost flames and skulls) but is one of the most chipper and cheerful characters in the entire Touhou cast. Her
theme song title says it all: Corpse Voyage ~ Be Of Good Cheer! INB4 Michael Jackson
tribute song. ("Heartful Neko-romancer").
I also like the curse goddess,
Hina, and how she uses her dark power to
heal people, collecting their misfortune. She's also a proper lolita, major points there. She's more about what I want to be like though, rather than what I am now.
Honorable mentions go to characters like
Nue Houjuu, whose design I love -- red, blue, and black are such wonderful colors put together, so she features as an avatar for me a lot. Nue's whole thing about being constantly misunderstood by people and thus aggressive and manipulative as a result spoke to me.