Alyx Vance from Half Life 2, the perfect sidekick, and brilliantly used as one of the primary outlets for narritive in Half Life, considering Gordon Freeman is a silent protagonist. There were moments in Half Life 2 that really connect to the player using her as a catalyst, absolutley fantastic.
My personal favourite is proably Nico Bellic! To me he summed up the image of the career criminal wanting to lead a good life but forced to make hard decisins ad d bad things to protect his family and friends, it took me literally two days to decide which of the Mcreary brothers to assassinate!!!