Before I start, one of my most important criteria for a good character is that they invoke an emotion from me, most likely empathy, although humor or the like are important too.
I know it's been said, but I really found it easy to empathize with Alyx.
All of the female party members in Mass Effect, especially Tali because, even though it's fairly clear from the beginning that she isn't a love interest, she remains interesting.
All the female party members in both KotOR games, especially Kreia(her scene in the Dantooine Jedi Enclave sent shivers down my spine. "It is because you were afraid") and Juhani. Kreia because she just had so many conversations that were so cool, I still go over them in my head, especially the conversation between her and Sion at the beginning. "Your senses betray you, as you betrayed me." I dunno about Juhani, go figure, I just liked her.
Grimsdottir from the Splinter Cell games, more because she brought on funny responses from Sam (Sam-I spent the rest of that year face-down on the road from Baghdad to Kuwait. grim-well, if it's any consolation, I had a bad year that year too. sam-what, you weren't working for the government in '89... grim- no, I was in 10th grade. sam- oh. right. yuck)
Midna, although I spent most of the game hating her