Hard to pick just one favourite.
For me it's a toss up between all of them, but these are my top favourite characters.
Duke Nukem - He's Duke Nukem.
Jon Irenicus - Antagonist of Bauldur's gate 2, awesome character and great voice acting
Kain - Protagonist and Antagonist from Legacy of Kain series, awesome character development in the first game, love all the monologues and great voice acting.
Magus - Antagonist/Protagonist from Chrono Trigger, great character development from Janus to Magus, and just overall 'cool'.
Zidane - Favourite character from any Final Fantasy, instead of your stereotypical emo-hero [censored] which is common of main characters from final fantasy games, Zidane is your sleazy thief character with great attitude and always made me laugh throughout the game, just an overall great character in my opinion.
Big Boss - Metal Gear Solid antagonist/protagonist, love his character development in mgs3 and he seems to have more depth to his character then solid snake does.