I wouldn't mind being a few characters when I first think about it, but several have their cons
Link, from ANY Zelda game. Sure you get all the gear, roam around hyrule, collect stuff, save the world whilst wearing a sometimes fashionable tunic, but at the end of the day you're just Hyrule's *****, can't talk and consume nothing but liquids and chu jelly.
Gordon Freeman from Half Life fame. Well, duh eeeeveryone want's to be good ol Dr. Freeman, but is the crowbar and the awesome gravity gun a relatively fair trade off for also not being able to talk, getting attacked by headcrabs every third step, AND being utterly lost and confused by G-Man?
The Prince, from Prince of Persia sands of time games. He started out fairly innocent, gets gritty, and in the end conquers his inner demons, but for what? Half the stuff he did technically never happened anyway, and I for one are not as noble and goody goody as he is deep down.