Games:
Alyx Vance, Half-Life 2 (almost every major NPC in Half-Life 2, actually).
Everything that talks in Portal 2.
Isaac Clarke, Dead Space 2.
Gaz, Price, and MacMillan, Call of Duty 4.
Altair, Assassin's Creed.
Ezio, Assassin's Creed II.
Niko Bellic, Grand Theft Auto IV.
Movies:
Burt Gummer, Tremors.
Agent Smith, The Matrix.
Ellen Ripley, Alien/Aliens.
Tony Stark, Iron Man.
Books:
Whitefang, from, uhh... Whitefang.
Takeshi Kovacs, Altered Carbon.
If I had to pick an absolute favourite out of all of those, I guess I could narrow it down to just Isaac Clarke, Alyx Vance, Gaz, and Wheatley (Portal 2), but beyond that, things get too fuzzy for me to decide.