Honourable mentions go to the best Splatoon girls, Callie and Marina

Also to Laylee, for being an awesome spiritual successor to my childhood favourite, Kazooie

Ori from Ori and the blind forest
Joule from Recore, a realy good female character, strong without to be a soldier or with a badass attitude.

Sorry for my bad english.

Crash Bandicoot! He's back, beautiful, and multiplatform!

Aloy from HZD.

I have a few
Chrom and Lucina from Fire Emblem Awakening
Tressa and Alfyn from Octopath Traveler
Shovel Knight from Shovel Knight
Shantae from Shantae Series
Celica from Fire Emblem Echoes
Pyra/Mythra/Jin from Xenoblade Chronicles 2 and Torna
Shulk from Xenoblade Chronicles 3D

Aloy , Kratos, and Geralt for me. I really cared for them and I feel have the best stories in all of gaming.

The whole cast of REmake 2 but if I have to pick, I'd go with Annette Birkin since we get to see more of her in the remake than we did in the original and she was a really interesting character.

Surprised I haven't seen her mentioned yet, but Madeline from Celeste is easily my favorite character that's new to this gen.

2B

Hmmmmmm. Pretty tough. I'll name a few I guess.
2B (Nier Automata)
Geralt of Rivia (Witcher)
Arthur Morgan (RDR2)
Senua (Hellblade)
Rex & Pyra (Xenoblade Chronicles 2)
Amanda Ripley (Alien Isolation)
Some obscure underrated characters I thought were interesting and ended up really enjoying their personalities, back stories, etc
Henry of Skallitz (Kingdom Come Deliverance)
Dr. Johnathan Reid (Vampyr)   
Sebastian Castellanos (Evil Within)