TF2 Pyro.
I maintain that this character is the best cosplay opportunity that TF2 offers, cept for maybe the spy.
The aesthetic is great, it includes a mask, and the jumpsuit can fit over other clothes to keep you from freezing to death. Also the idea is practically built into the character.
No one knows who the pyro is, it can be a guy or a girl.
All the pyro's gear is homemade, and the character has a reputation for being a bit strange.
I built my own flame thrower, I have a little plastic shotgun that looks a lot like the actual weapon and I ordered a cold war russian gasmask from Ebay to complete the look.