The closest I've ever gotten to a deep connection with a fictional character is easily Ashley Williams from Mass Effect. Yes, I know she gets a lot of hate but I instantly liked her for her tough girl attitude and wisecracks and found myself growing fonder of her as the game progressed.
She was a rare case of a character that I actually felt like I got to know and understand, even her faults like her aggression and distrust towards aliens actually helped me grow attached to her because flaws help define character. Plus it was kind of neat that I was able to persuade her to change her worldview or at least be more open minded and look at this whole situation in a 'big picture' kind of way.
It was pretty cool that a game where the central theme essentially was 'time to let the past be the past and move on and come to terms with change and relations with new cultures' that there actually existed a character who you could argue with and yet still be able to romance.
As far as Mass Effect 2 goes, well, Horizon sucked. But I fault that on horrific writing and unlike the many angry people with appalling spelling and doubtlessly bad grooming out there... it wasn't enough to turn me off. It was actually pretty easy to stick with Ashley even though she only showed up once and not exactly on the best of terms.
And even though the game keeps shoving Liara into my face, desperatley trying to convince me that she's the 'right' choice and pushing Ashley further and further away from the spotlight or anything to do with the main story, still I dug my feet deeper into the ground and determinedly stayed the course.
Which is a lot of commitment given that I'm talking about a fictional character.
If nothing else, the fact that I've verbally defending Ashley numerous times, regarding numerous issues that people keep bringing up against her and that I've never given up no matter how stubborn said people can be in their arguments should be enough of a sign that the character has certainly grown on me, and even though I can't say I approve of the decision made by Bioware to make her look like a spandex wearing supermodel for Mass Effect 3, it's also not going to be nearly enough to even bother me.
So yeah, to Ashley Williams. My ultimate game crush, few would I ever defend with such determination and valor.