Klonoa being my favorite character is already a given, but as a secondary, it would definitely be the King of Sorrow. As someone who was a victim of negligence to the point where the entire world forgot about him (and even to the point where Hyuponia simply vanished from that realm), each and every day was filled with nothing but sadness for him.
Leorina was wrong when she gave her retort before the second form of the final boss fight. She mentioned that the King of Sorrow shut himself inside his kingdom, but since the King of Sorrow wanted the emotion of Sorrow to be remembered, it implied that all he had to do was step outside, something he clearly wasn't able to do, because he would've done so at that point. I think she was just angry at him for manipulating her at her weakest mental state.
I'm really happy that we were given a glimpse of the High Priestess arriving at the Terminus of Tears and holding a reborn King of Sorrow in the credits, but one thing I'm not happy about is that Klonoa wasn't able to witness how his efforts changed Lunatea for the better. He won't know how the people of each kingdom finally started to travel to the other kingdoms and learn new things, and he won't know that the King of Sorrow was reborn into someone who could finally be happy.
Maybe the comic will eventually change all this, but for now, there's only speculation to be done.