Ok, the character you missed the most.
Probably Drogo, though what I really miss is
Daenerys with Drogo. I loved them. They were together for so little time, and so much time has passed since his death, but it still seems like this huge tragedy in her life that she will never stop mourning. I hate that Drogo's barely been mentioned in the show since the first season. In the books, you can see that she still misses him and longs for him, four books later.
I'm going to miss Oberyn a lot, too. Never cared for him in the books, but absolutely adored him in the show.