I don't know if I would say "most" attached to, but one stand-out attachment for me would be Alyx Vance from Half-Life 2.
She's the first video game woman that I would consider truly "attractive," and let me explain that. Yes, there are plenty of video game women that I could quality as "hot," but true attraction for me (and I would hope for most people) is a combination of respecting and appreciating a person's physical beauty, personality, and capabilities.
With her realistically-proportioned good looks, friendly and encouraging but down-to-earth personality, and her ability to take care of herself and others, I found myself genuinely caring about Alyx as the game progressed. I worried about her when bad things could happen to her, and I missed her when she wasn't around.
When her father makes a comment about her and I (I being in the role of the blank slate Gordan Freeman) propagating the human race, I realized that the thought of having and raising children with her sounded like a considerably good idea.
Alyx Vance is the fist and ONLY video game character that I can honestly say this about: If she were real and I were single, I would want her to be my girlfriend and I would be open to the possibility of marrying her and having children with her.