I'd like to nominate Marche from Final Fantasy Tactics Advance. He finds himself in a dreamworld where all his friends have the one thing they wanted most - his crippled brother has functional legs, his downtrodden friend is the highest authority in all the land, he himself has confidence. He interacts with the denizens of this dreamworld on a daily basis, and finds that they're as deep and real as the people back home, with thoughts and feelings and aspirations of their own.
And what does he do? He tries to get back home, despite having everything he's ever wanted.
He discovers that the only way to do this is to destroy the Macguffins holding the world of Ivalice together. They're literally called The World Thread. Whenever he encounters anyone else from his old home, they beg him to stop, to stay here, where they're happy. People who are aware of The World Thread beg him to not destroy their world.
Does he listen? Fuck no, you're coming home. Doned, better say goodbye to your legs, 'cos you're going back to the wheelchair. Mewt? I know you miss your dead mum and wish your dad wasn't such a depressed loser, but it's time to bid them adieu. Cid? Try not to kill your son out of neglect when we're back home, kay?