I'm loving the main characters in most of my favourite games, but the #1 definitely goes to Samus Aran. Samus is my favourite vg character and I just can't imagine playing a Metroid game without her. She's really special in numerous ways.
Some other great ones:
Sonic - Sonic the Hedgehog
Lenneth - Valkyrie Profile
Alicia - Valkyrie Profile 2
Cecil - FFIV
Terra and Celes - FFVI