Well there are a few.
Commander Shepard is awesome, whether he is setting someone on fire with his tech powers, or throwing someone off a rooftop with her mind.
The boss from Saints Row the Third actually acknowledges how fuckin awesome it is to steal a military aircraft and blow the shit out of some tanks.
Sam Fisher from Splintercell is that lethally quiet achiever who's just so much fun to snap a few necks with (and Michael Ironside makes anything sound badass. I've been a touch concerned that they've got someone else voicing Sam in the next game).
Captain Price from Call of Duty. I know I could cop some shit from this, but he's got some of the best facial hair in the videogaming world.
Geralt of Rivia from the Witcher kills giant monsters for a living and sleeps with beautiful women when he gets bored (y'know, between monsters).
John Marston from Red Dead Redemption I like to describe as casually violently angry. And when you stroll into a outlaw camp, blow off everyone's head before they can blink with a repeater, lasso their boss, and take out any survivors with a shotgun, all for a bounty which you don't really need, it's hard not to feel like the toughest ************ in New Austin.