Oh gosh, such a list. I'll just list three.
Well pretty much all the characters in Final Fantasy XIII. Each of their stories are so intricately tied to one or more of each others' stories, and finding out exactly how and seeing them work it all out is nothing short of stunningly intriguing. I especially like how Lightning and Snow are tied by their common loss of Serah, but each of their outlooks on life clash violently: seeing their relationship play out through that setup is amazing.
Cloud, from Final Fantasy VII, is another one. His backstory is much, much different from anything we think at first, and seeing it all come to light was astonishing.
Jade, from Beyond Good and Evil. She had a mysterious past and we never even knew it until late in the game: but unfortunately, it left a lot to be explained by its heavily implied sequel, which still has yet to be made. Absolute masterpiece of a game: I really, really, really, REALLY hope they get around to that sequel...