Shadow the Hedgehog, period. Most fans of Sonic games tend to have their nostalgia goggles firmly taped onto their eyes, and thus seem to dislike almost ANY new character anyway. Shadow, to me, is Sonic's perfect foil. He's angry at humanity, not just GUN, but has a good reason to be. He's shown himself to have some heroic traits, mostly buried under all that angst in his past. He's also damn good looking...what? My favorite colors are red and black, so Shadow is one of my favorite Sonic characters; next to Knuckles of course.
I agree with the people that said Kaiden, Jack, and Ashley.
Anakin Skywalker, Galen "Starkiller" Marek, Ahsoka Tano, and every. single. clone commando in Karen Traviss' novels, not to mention Etain, Kal, and Bardan, get my vote in the Star Wars department. Why? To me, Anakin had a good reason for turning to the Dark Side (a bit of a misguided one, but a good one regardless.) Galen Marek is quite possibly one of the better new gen Star Wars characters to ever get his own game series, mostly because I love how powerful he is and his character...yes, I do count the TFU II version as well. Ahsoka can be a bit grating at times, but she's Anakin's apprentice; they both are learning the 'right' way to be a Jedi slowly. As for the clones in KT's novels, among the other characters, I liked the way they were characterized. I enjoyed the fresh take they brought to a universe that seemed somewhat black and white when it came to things, least on the surface.
I like Jar Jar Binks as a comic relief character, just saying.