I certainly liked Alyx Vance, it was one of the things that kept me playing Half Life 2 to be honest but also honourary mention has to go to Cortana as she was genuinely likeable if you ask me, a decent female sidekick also I must mention the women from Mass Effect especially Ashley who proved a good female love interest and also a flawed and complexly detailed character.
Finally obviously Samus.
But yeah of that list I have to give it to Cortana, maybe just because she has a cool name when it comes right down to it. Come on Cortana is a cool name for a chick, plus again she serves a good purpose throughout the trilogy and I just liked her.