Y'know, given the general quality of game writing, I'm surprised at just how many there are.
Alyx - Oh gee, what an amazingly original choice! Seriously though, she's popular for a reason. Well characterised, well rounded, very likeable etc etc. Although I have this horrible feeling that Valve are going to kill her off right before the end. Maybe have her get headcrabbed and force the player to shoot her. Errg. I hope I'm wrong.
DOG - I don't care if he's just nuts and bolts, anyone who can tear out a strider's brain gets my vote. The beginning of Episode 1 caused me to abandon all dignity and give several girlish squeals of unadulterated glee.
Wrex - Quite possibly the only "badass" character I ever really liked. Apart from being generally awesome, I found the stuff he had to say regarding the genophage to be especially interesting. Gave him a nice bit of depth and even a spot of pathos. I was very glad I didn't have to kill him.
Tali - Much the same reasons as Alyx. Also, excellent visual design. It was the trial scene from ME2 that, to me, caused her to go from good character to excellent character. Poor thing.
Tenenbaum - She has an excellent and original backstory. But it was the audio logs documenting her change of heart that really did it for me. They were sad.
Farah - Once again, much the same reasons as Alyx. Well rounded, actually displays emotion etc etc.
Honorable mentions go to Jade, Pey'j, Double H, GLaDOS, Liara, Jack, Garrus, Alma, Cortana, Agro and Dr Kleiner.