For me, it's Elizabeth from Bioshock Infinite.

From her cool powers, to her endearing and likeable personality, to the way she's actually helpful rather than a hindrance during gameplay, to the incredible animation, AI, and voice acting that bring her to life, I have never cared about a video game character the way I did with Elizabeth.

I haven't played BI yet, but I have seen some of the fan made movies that chronicle her wacky antics.....cough, cough.

I have a feeling you're referring to the more, uh, risque variety here. Then again, maybe the internet has just ruined me. XD

On a serious note though, I highly recommend Bioshock Infinite, unless you absolutely despised the first two games or something. It's amazing.