I'm stuck with choices here.
For a start, I regard Ibram Gaunt, Lijah 'Fething' Cuu, Hlaine Larkin, 'Try Again' Bragg and Colm Corbec as some of the greatest characters ever to be created for the world of Warhammer 40000, and all five hail from Dan Abnetts's Gaunt's Ghosts series of novels.
However, certain characters from the Discworld saga are also awesome. Namely, Samuel Vimes, The Librarian, Cohen the Barbarian and Mustrum Ridcully.
Finally, since I'm re-reading the Edge Chronicles, I've really grown to love the four main characters of Twig, Quint, Rook and Nate.