April Ryan from The Longest Journey for the very simple reason that of all the games I've ever played, she's pretty much the only one that seems realistic. Not a caricature, not a stereotype, not some flat one dimensional super-soldier but a character with believable and sympathetic beliefs, dreams, wants, needs, flaws and personality.
It's really easy for me to play a game and go 'gee willikers dis guys badass eh!', what's almost never happened was me feeling sympathetic for a character. And among those few, April Ryan is my favourite.