A Storm of Swords is most readers favorite book - so much great stuff happened. Personally it's mine, although the Davos chapter of A Clash of Kings when they assault King's Landing by sea with Stannis's fleet is by far my favorite chapter of all the books.
George RR Martin recently released a new teaser chapter from his next book, The Winds of Winter, and it's an "Arya" point of view chapter, where she kills somebody on her list again. I won't spoil the who/what/when/where/why, but it's over at George's site of you want to read it yourself.
http://www.georgerrmartin.com/excerpt-from-the-winds-of-winter/I exchange emails/etc with Elio Garcia fairly regularly. You probably don't have any bells ringing, but you will soon. He's the webmaster for Westeros.org, and is currently working on a book co-written with George Martin about the entire world of A Song of Ice and Fire, with data and information about absolutely EVERYTHING about the entire world that's been created, past present future. It's a huge endeavor, and should be out this year I've been told.
One thing that is a fan favorite is the Valaryian steel swords in the series. "Dark Sister" was the sword used by one of the original Targaryen sister who invaded Westeros with the original Targaryens. It's quite the Chekov's gun in my opinion, considering how often that sword has come up in the books, lore, and Dunk and Egg novellas - I think Arya will end up with it somehow, as she is quite the "dark sister" herself now in the current books, especially with the latest teaser chapter.
Arya is also the author's wife's favorite character, and he's stated several times that if he does any harm to her, he'll be sleeping on the couch indefinitely. We'll see I guess.
Anyhow, I agree that she's a great character, and Masie Williams has done a fantastic job portraying her on the TV series.
