Spoilers
Yuzu (Shin Megami Tensei: Devil Survivor) - She is annoying at points, but I when replaying the game for the different endings, she is the character I always find myself relating to and sympathizing with. Her worries and fears are believable and valid and her naturally cheerful personality gives her and the player a buffer between them and the heavy topics in play. Furthermore, her ongoing desire to flee the crisis is something very relatable, and her character development in certain routes is very satisfying, especially in Overclocked's 8th days. More than any of the other protagonists, she seems to be Devil Survivor's representative of humanity in the context of the ongoing conflict.
Undyne (Undertale) - I'm probably losing internet points for praising Undertale, but I really love this character. Depending on the decisions made over the course of a playthrough, you'll learn different things about her backstory and see her follow one of several character arcs. Her character is all about her role as a Royal Guard, and her arcs are about coming to understand what it means to be a Guardian or Champion. This can involve learning how to befriend her supposed enemies, swearing vengeance against a player that has brought havoc to her homeland, becoming the Champion of all innocent beings in a final showdown against a demon, etc. And to top it off, she has a delightfully hot-blooded personality. Which means she gets some amazing dialogue, both dramatic and comedic.
Yuna (Final Fantasy X) - Despite what Tidus may insist, this is her story. Yuna is one of the few cases of flat voice acting working out well in a game like this. She is very composed and deliberate, determined to complete her mission no matter how much it wrecks her. But the minute she realizes that this won't help others, she is perfectly willing to back out of everything she's worked for. She may seem like a doormat at first, and never gets over her fear of starting a scuffle, but Yuna is whatever she chooses to be. And she chose to be the hero of her story. Also, I heard she had moments in FFX2, but I never beat that game.
Palutena (Kid Icarus: Uprising) - I appreciate how Palutena is able to fill so many roles in this game. She serves as Pit's Navi, his mission control, his commander, and his constant partner for banter. She and Pit have a great dynamic going, as illustrated in the few sections of the game where they are not in contact. Leaving aside her interactions with Pit, she is able to fill the role of a traditional Goddess of Goodness while having plenty of personality. She is one of the only characters able to keep up with Hades in a conversation, delights in playing jokes, is capable of both flashes of brilliance and panic, and has an air of mystery about her that is never fully satisfied.
The Boss (Metal Gear Solid 3) and Glados (Portal) - I have nothing remotely new to say about these two.