The Comedian from Watchmen. He's a real enigma, and also really cool, but mainly I like him because he does some really evil shit, yet (in the film anyway, haven't read the graphic novel) you still don't hate him.
I also think Makarov from MW2 is a great underrated character. I looked into his backstory a bit, but I think backstory or not he's great. There's just something really deadly about a man who's a terrorist for hire, not on any country's side unless they give him a reason in the form of crisp, thin notes. The fact that he willingly sides with an American general (Shepherd), despite having been a previous extremist wholeheartedly against the west, to massacre hundreds of his own people, shows insanity and deadly ability. Which I find awesome.
Yes, I love MW2 and I think he story is great, it's just most people don't think into it and thus don't understand it, which is udnerstandable, but I still love it. It actually makes a whole lot of (granted, unrealistic) sense.
Also, nearly every character from Naruto, except Sasuke. First series is the greatest story ever told in my opinion. The Anime, that is. Never got interested in the manga.