The G-man. That was the first character I can recall that provided a catalyst for discussion about characters in video games. The way you'd always see him walking off, and you'd try to catch him only to find a horrible disaster. He always seemed connected to the horror that was unleashed around you and yet never seemed to convey any ill will. At best it was passing interest in your predicament - the way that I look at an ant struggling with a grain of sand.
There have been scores of interesting characters since. SHODAN (system shock 1 & 2), Garret (Thief), Sam Fischer (Splinter Cell), J.C. Denton (Deus Ex), Cpl Alan Sheppard (Half Life: Opposing Force) and so on.