I prefer Duncan. Adrian Paul I feel has better acting capacity then Lambert and his character had more screen time for more development.
Lambert did a good job at showing the emotional pain of being immortal, somthing that Paul as Duncan didn't deal with quite as much but when he did you could feel his pain. However Duncan always felt that tomorrow was a chance to get things better. Connor wasn't always quite the optimist.
Another great character the series brought in was Methos, the oldest immortal, 5000+ years old. Yet he acts like an every day man who has seen it all and then some yet it doesn't go to his head. he acts humble and states he isn't a wise man or a Buddha or any such thing. Also a master strategist, and manipulator who was great at mixing truth and lies. A good ally to have but if he ever decided to go back to being a murdering warlord, or a world conqueror I have no doubt he could have.
Joe Dawson and the Watchers. An interesting concept, but Joe basically becomes the equivalent of Uatu in that he must basically toss the non-interference oath aside.
The concept of both Light and Dark Quickenings that can literally change the personal of the immortal that absorbs either one.
Darius the conquering warlord kills a holy man and the quickening changes him and he becomes a peace preaching monk.
Duncan: takes in a Dark Quickening in Season 4 and others must scramble to cleanse him or kill him. It was later retconned in a comic miniseries that Connor took in a dark quickening when he took out Kurgan and had to defeat Kurgan in a battle of the minds as it were to cleanse himself.
The Eiffel Tower: the world's biggest lightning rod
Amanda: truly the catwoman character of the show.
The 100th episode giving us the Four Horseman. So nicely done.