I tend to pick something along the lines of paladins or at least warriors driven by some kind of zealotry. I'm a pretty moderate person, so it's entertaining and sometimes enlightening to enter that kind of mindset. I can sense sometimes a lot of confusion as to why I find that kind of character engaging, because I think a lot of media likes to attach the "crazy wingnut" stigma to this type. Alistair and all the other Templars, plus the Chantry, in DA:O come to mind.
Having good intentions with an inflexible mindset tends to create interesting situations in roleplaying, because it often brings up profound questions of morality that require thought. Of course, any well-played character can encourage thought and discussion, but there's just something I like about being a goody two-shoes white knight type. I'm not like that in real life at all, and in fact, those kind of people tend to annoy me more often than not, so it's interesting to think about why I like stepping into that role, even if it's just for fun.
In combat, Paladins are usually frustratingly durable and can bring the pain in their own special way. Unless you're talking about WoW. But they cocked the archetype up.