Well if we're talking about sheer coolness then I'd pick Kratos, who kills gods and climbs out of hell.
But my favorite characters are not so because they're cool, they are so because they're complex and profound. Nico, the Prince of Persia, several characters from the Mass Effect and Dragon Age series(Except Dragon Age II) could all qualify, as could Darth Sion and Darth Nhilus from KOTOR II, but those are more symbols than characters. Kreia's up there to, but I think I'd go with Dutch Red Dead Redemption, if only because the intrigue of Kreia relies on subversion of the existing Star Wars lore.
Dutch is a tragic figure, and a reflection on impermanence, he symbolizes how far the mighty can fall, but more haunting is that it was by no fault of his own, it's just human nature.
