SPOILERS AHEAD
I don't think I'm going to go with a single favorite, but I'll list off my top 5 in no particular order.
1. DRAGON AGE: ORIGINS. My dwarven noble and Morrigan in Dragon Age: Origins. Why? Because I knew objectively it was a bad idea, I really did. I mean, can you trust her? Clearly you can't. She's totally sketchy! But yet...I was drawn to her character and I kept that relationship going. I told myself that I was a good influence on her, that she was changing, that deep inside she was a good person. Yeah...and I still want to know what's up with her. I thank a couple of things for this. 1) My character was a dwarf, and so the Maker and all of that human religion was not relevant to me...so I saw her persecution at the hand of the Templars for being an apostate as really unfair...which predisposed me to siding with her. Then there was a good writing and the amazing voice acting. It made me understand the male protagonists of all those crime novels/noir films I read. Which leads me to...
2. MAX PAYNE. Max Payne and Mona Sax. There is some noir goodness right there!
3. SILENT HILL 2. To follow the trend of being invested in questionable women...My James Sunderland and Maria! I don't care what happened at the end of my version of Silent Hill 2--I refuse to think anything bad about Maria--my Maria was no demon. I still maintain that she was just what James needed at that point in time. A woman who was not the excessively virginal Mary, a woman who wouldn't put up with his moping. Someone who'd give him a kick in the ass a bit. And of course, playing the add-on Born of a Wish from the Xbox version humanized her even more...though also making it more clear that she may not exactly exist.
4. DREAMFALL: THE LONGEST JOURNEY. I really liked the relationship between April Ryan and Kian and also the not yet romance between Zoe and Damien Cavanaugh. I just like that game altogether.
5. ADVENT RISING. I got quite invested in the relationship between Gideon and fiance Olivia. I was so invested that I wasn't really able to transfer those feelings...or did so quite reluctantly after...you know.