Several of these characters are among my favorites, but Jean Grey has been my favorite X-Man since I read most of the Silver Age stories of the X-Men. I would pick her over the likes of Wolverine and Deadpool. (Their powers are to recover from a lot of beatings. Her powers tend to cast her as the one performing the beating.)
Steve Rogers is the Marvel "hero" who I most dislike. An idiot who volunteered as a human guinea pig for a clandestine project, dresses in a flag like a cheap politician, and serves causes which he does not actually believe. I love several of his supporting characters and villains, but Steve himself was always the least likeable and interesting among them.
Several of my favourite Avengers have either rarely been depicted on film, or never depicted on film. The Wasp, Black Knight/Dane Whitman, Hellcat/Patsy Walker, Moondragon, Mantis when written by Steve Engleheart, Captain Marvel/Monica Rambeau, Firebird, Tigra, Moon Knight, Deathcry, Spider-Woman/Rachel Carpenter, and Sersi.
Of the DC side, I have enjoyed my share of Batman and Superman stories, but I honestly find Green Lanterns and their cast more interesting. Alan Scott, Guy Gardner, Kyle Rayner, Jade, and John Stewart are fascinating. I find Hal Jordan relatively boring (hot-shot pilot with military background), but he has his moments.