Raziel, Kain, and the Elder God from Legacy of Kain.
Rincewind, The Luggage, Death, Susan, and Ridcully from the Discworld Series.
Saphira and Brom from Eragon. (the book, not the movie, the movie SUCKS!)
Sly and Bently from the Sly Cooper series.
Spider-man from the Ultimate Spirder-man comic series.
Rorschach from Watchmen.
V from V for Vendetta.
Kosh, Bester, Geribaldi, Sheridan, and "The Inquistor" from Babylon 5.
Cryptosporidium 137 from Destroy All Humans (he may not have much depth, but he's hilarious).
Nell from The Diamond Age.
Altair from Assassin's Creed.
Gandalf, Sam, Sauruman from Lord of the Rings.
Saren, Ashley Williams, Dr. T'soni, Cpt. Anderson, Garrus, Wrex, Tali, that girl from Mindoir (you know the one I mean), and Sovereign from Mass Effect.
President Eden, "Your Dad", and Mr. Burke from Fallout 3.
Emperor Uriel Septim and Lucien Lachance from Oblivion.
I'll post again when I think of more.
And yes, I do consider some games to be a part of literature.