For me it's Dimitri in Grand Theft Auto 4. It's just soo well done, in the short time you get to know him I really did feel I had formed a friendship (as much as you can in a game that is) and there was trust so when he double crosses you it actually felt like a kick to the private parts, and it's that, that fueled me to complete the game and exact my revenge. Though the game kinda slumped in the middle due to poor missions and a mehish storyline about diamonds when all I cared about was killing a certain Russian but this is turning into a review so i'll shut it.
R.I.P Dimitri... you bas-
R.I.P Dimitri... you bas-