Ashley from Resident Evil 4--she couldn't fight, but she always did her best to stick right behind you, and if you needed to shoot something behind her, she'd duck. More than I can say for most friendly AI characters.

Also Ashley from Last of Us saved my ass many times, either with a well-tossed brick or pointing out an enemy I hadn't even seen.

Could I trouble you for some maple syrup to go with the plate of roffles you just served up?

Tag, courtesy of fkusumot: "Why do most of the PS3 fanboys have avatars that looks totally pissed?"
"Ok, girl's trapped in the elevator, and the power's off.  I swear, if a zombie comes around the next corner..."