At first I was going to say Alex Mercer, due to him being by far the most powerful character I can think of, but he's rather bland and boring to talk to and would either blow up everything I own or accidentally get me killed through recklessness.
Then I thought Kratos. He kills gods, but he's just so ANGRY, I can't see him being much fun and he can't be controlled.
Raziel would be next, but he'd probably keep boring me with philosophical debates.
Then Dante. He'd be fun for a while, but then he'd probably get annoying pretty quick.
Wesker? Too blatantly evil.
Any 40K Space Marine? These guys too are pretty much 1 track minds, and they do get killed despite their enourmous power. Unfortunately most of the ones in games have been nameless mooks, so they are inherently expendable.
Doomguy. He's a possible candidate.
Gorden Freeman. Similar to Doomguy, only less awesome.
Hmm, tricky question, but after considering the options, I'm going to go with Lilith from Borderlands. Specifically, MY Lilith build, because I swaer she's unkillable, she has unlimited ammo for her insanely powerful guns, a personal sheild of incredible strength, health regen, and invisibility/superspeed/shockwave powers. And she looks good too.
EDIT; Ah crap I just remembered JC Denton! Master of pistols, rifles, shotguns, snipers, rocket launchers, demolitions, hand to hand, computer hacker, master lock picker, electronics expert, fully trained doctor and a damn good swimmer! Along with his super speed, invisibility, bulletproof skin, immunity to poisons and toxins, super healing, nightvision/infrared/long range sonic sensing and ability to blow up bombs and missiles from extreme distance he'd be perfect!
Now I'm even more confused!