I picked the Musketeer, although I wish he would've come with a cape (easily modded, though). The artist would be a close second.
Series 2 is still the best for me because of variety, but they always look better in your hands so that might change once I get S4. The only reason I didn't pick all series was because S3 was somewhat lackluster, and I only liked about a third of the bunch.
Variety and exploring new themes was most important to me, for obvious reasons. I love all of the new ideas the Collectible Minifigures has brought, and are definitely one of TLG's best creations.
Yes, I do think that S4 is an improvement over previous series. Like member Blueandwhite said in the S4 thread, all of the figures in this series have a good amount of thought put into them, while some minifigures (diver, alien, etc.) just seemed like they were thrown in to round out the rest.
And as a bonus question, out of all 64 CMs created so far, my favorite is the mime from S2. It's changed from the vampire for best from S2, but that was before I held the mime in my hand. So much charm. I think the artist might have a similar effect, too.