He certainly seems like the most interesting character in the show, at least to me.
A lot of effort was put on character development in Avatar, and the shining example of this is Zuko. His character evolves so much over the three seasons of the show, and he gets so much time devoted to what made him into the character he is, and how he develops. There are a lot of examples I can give, but I don't want to spoil the show for anybody.
I think Appa is the most interesting character because of the fact that he is a giant horned buffalo that can fly around and has the same power as the Airbender. He is also adorable and cute which makes him a favorite among little kids and most dream or wish they had an Appa