Captain Price (Call of Duty 4: Modern Warfare) - Never underestimate the mutton chops. Ever.
Commander Shepherd (Mass Effect) - He owns the most kickass spaceship in the galaxy. I guess I'd need to bring Joker along too, to fly it, but that's cool.
Dog (Half-Life 2) - Powerful, loyal, and upgradable. What more do you need? Plus, you'd get to encounter Alyx Vance, and how is that a bad thing?
The Spy (Team Fortress 2) - While Price and Shepherd are shooting at the enemies, and Dog is throwing cars at them, The Spy would easily be able to sneak up behind them and shank them in the back. Not to mention the ability to sneak unnoticed behind enemy lines.
The Announcer (Unreal Tournament series) - No matter how well you do in a fight, having The Announcer from UT declaring everything you do makes it that much more epic. (No pun intended.)
I could probably list about twenty or thirty, but those are the ones I'd choose off the bat.