Can't really think of one I'd describe as my favourite. I have plenty I enjoy on a silly teenage boy level, like JC Denton, Solid Snake, and so on, but I can't think of a game with writing good enough that I really just love a character. I usually appreciate games on a more whole world basis, rather than individual characters.
Yeah, no favourites, really. Even if I was to think of particular game worlds I have many which appeal to me for very different reasons, and on different days I'd pick different ones as my favourites.