I have an odd group of favorites, I suppose.
First off, while not the favorite favorite, my most recent favorite is Senel Coolidge from Tales of Legendia. The reason why is that out of all the incredibly cliche characters in the game, and the absurd plot, he manages (at least until the end when he succumbs to the whiny fuckwit mentality of the game) to do what I would expect someone in the real world to do.
Will: "Gee, Senel, let's go help random person because it's the right thing to do eve though we don't know them, and now I'll hit you on the head."
Senel: "Fuck you, you're a nutjob, I'm leaving."
Chloe: "But Coolidge, you have to be true to yourself."
Senel: "What are you talking about?! People are trying to kill my sister, fuck you, I'm going!"
Norma: "Let's have a positive attitude and do a dance!"
Senel: "They're toturing my sister to death! Are you all crazy?!"
The Nameless One from Planescape Torment is a personal favorite because, well, if you need it explained, you haven't played the game and really should.
Guybrush f'in Threepwood, for keepin' it real in the CaRIBbean.
Lucca because she's a hot brainy chick, and I love those. Especially the glasses.
Mai Shiranui because I think she's hot, even though Christine thinks she's gross.