I'm terrible at embedding stuff, but my favorite character even is Manny Calavera from Grim Fandango. I still replay it today and just loved the mix of film noir and Day of The Dead, the amazing voice overs and the actual sense of a character with depth who progressed throughout the game.
Nathan Drake would be a recent character I've found very likable, actually most of the cast, from Sully and his habit of mixing brothels/whores/churches to Elena are all great characters.
I found myself quite attached to Ico and Yorda as well.
James and the various 'misfits' inhabiting Silent Hill Universe are also favourite characters.
Favourite bad guys (or gals - sorta) are Shodan from System Shock and GLADOS from Portal - clearly I find female centric mad computers oddly alluring which is a bit worrying. I remember being very impressed when Shodan got annoyed, promised to send a bunch of nasty robots to eviscerate me, and promptly did so. A villian with class and focus. GLADOS simply has great voice work coupled with a wonderfully demented approach to 'testing' you.
Dog and Alyx are also good characters.
That's about it funnily enough - for me most videogame characters are somewhat bland.
