In no particular order:
Krystal (Star Fox): She's a blue telepathic fox girl with a mysterious past and a british accent. What's not to love?
James McCloud (Star Fox): So much less annoying than his son, it's not even funny. He is the epitome of how morally-bound mercenaries should act.
GLaDOS (Portal): Why do you think?
Doctor Breen (Half Life 2): Still one of the most awesome antagonists I've ever seen.
"I'll be long gone, and this room will be filled with deadly particles that haven't even been discovered yet. Perhaps when I have the time, I'll name one of them after you."
Amaterasu (Okami): Goddess of the sun and mother of all creation in fluffy mirror-wielding format. Never before has a divine being been so huggable.
Tails (Sonic): I've always liked him, for some reason. Never really found out why.
Agro (Shadow of the Colossus): He is awesome. He is a horse. Enough said.
Giygas (Earthbound): For the sake of sheer mindfuckery.
Glarthir (Oblivion): Probably one of the most well-played characters in the entire game, not to mention perfectly awesome in his psychoticness.
The Protagonist (Bioshock): He has a magical hand that shoots bees.