Oooh, hard one... Gonna have to list a couple of 'em, it's impossible to choose just one
Currently I'm playing Final Fantasy XIII, and I really dig Lightning and Fang. They both have believable personalities, and they complement each other quite well. (Also, LightxFang is HAWT!!!)
Another great favourite is definately the Prince from the Sands of Time trilogy, the entirety of it because he just goes through so much shit and eventually comes out victorious.
I really like Eli Vance as well, he's just so awesome (Don't mention Episode 2's ending, I'm still not over it...) T_T
Bioware Time!!! I like Garrus, Thane, Liara, Tali and Joker (Mass Effect 1&2), Alistair, Oghren, Leliana and Wynne (Dragon Age: Origins), Mission, Jolee, Bastila and HK47 (Knights of the Old Republic) and probably lots more, but these were the ones of the top of my head.
And last but not least, Captain Price from any Call of Duty game he appears in. That mustache makes any man jealous! (This means Price from MW2 is excluded, because he lost his mustache) D: