I have a lot of favorites, such as Gordon Freeman, Marcus Fenix, Anarki from Quake 3 (Not really a hero, but whatever.) and Bitterman, but I have a very unusual favorite:
James Sunderland from Silent Hill 2.
The thing I like about James is that he's a normal guy in horrible circumstances. He's not a space marine, he's not a superhero, he's not a plumber who can jump high, or a god of war. He's not even an everyday soldier. James is a store clerk. His wife dies, and his life goes downhill from there. But, at the point of suicide, James recieves a letter from his wife, calling him back to their favorite vacation spot, Silent Hill. When he gets there, he doesn't find a happy resort town. He finds a fog shrouded, decaying, miserable place with no sign of life other than surreal and horrifying creatures (See profile picture for the best one). He continues to learn more about the truth, and eventually learns the horrible truth.
Another thing I like about him is that he's realistic. He acts like a real person. He has the same amount of pain and suffering in his voice and face of someone Who has REALLY lost the only person they love. He's fascinating, and wouldn't win in a gunfight with Master Cheif or Chri Renfeild, but in a contest to be more realistic, he grinds their faces into the dirt.
Sorry for writing so much, and If you like Master Cheif or Chris Renfield, they are also cool, and I know you have your reasons to like them. I have my reasons to like james, and they are many.