Your asking me to choose one? Just one?
Dammit....
Nope, can't do it. So I'm going to put a few down.
Tali and Garrus from Mass Effect. I just love characters who go from normal soldier types to ultimate badass in a series! Tali was especially awesome!!! (Three exclamation marks makes it true)
If you singled out anyone from Republic Commando, they would be kind of shallow, but put together they are amazing characters(course I'm biased. Deal with it!)
The Master Chief. Just because he's cool. Kind of shallow, but if you read the books it really brings out his character and makes him a real person.
Jack(or Subject Zero, if you prefer). Also from Mass Effect. I hated her guts, but she is one of the most complex characters I've seen in a game. Yeah, she seems like a complete *****, but as you play through the game, you can see how it's just a mask for how frail and helpless she actually feels.(Not that she IS actually frail and helpless, at all. Just that's how she feels)
Oh yeah, and Forde from Fire Emblem: The Sacred Stones. He was awesome.
And Lyon, from the same game. Awesome how he was a good guy, just corrupted so far he couldn't control himself so you HAD to kill him, and he wanted you to. I kind of cryed a little when he died, I'll admit it.
Sorry to mess up your post, I just CAN'T pick ONE!
Edit:And I totally forgot about the Arbiter. Not only does he have that strange awesome voice of righteousness, but he is just an epic character all around.