My most favorite character of all time is Millie from Suikoden II.
The reason why she is my favorite character is.....
In the Suikoden games, there are about 60+ playable characters... some characters join the hero automatically and some you have to go into the world and recruit yourself.
Millie was the first character that I recruited, and that really added to my favoritism of her.
I was so happy that I was a 9 year old boy recruiting characters to fight evil...
She was good with magic, had a unique pet that literally swallows enemies whole and had a unique weapon (Boomerang).
Millie was actually the reason why I love Boomerangs so much now as an adult, after I knew of her and had her in my party in the game a whole lot I really enjoyed the character and loved the weapon.
Some other characters include, Poshul from Chrono Cross. Who is a cool pink dog that joins the hero Serge because she thinks he is interesting.
Another is Van from Chrono Cross who also has a Boomerang as his weapon; although I played Suikoden II first... I think playing Chrono Cross for the first time near the same time I started playing Suikoden II, it also increased my likeness for Boomerangs as a weapon.
An interesting fact is that In Suikoden II, Millie is 14 and in Chrono Cross Van is also 14.
Kya from Kya Dark Lineage is also a great character I favor.
Toad from the Super Mario games. I just always liked him (as you can probably tell from my avatar). I first played as him in Super Mario Bros. 2 and ever since I have been a big fan of the little character.
Gordon Freeman from H-L series
Carl Johnson "CJ" from San Andreas
Starkiller from Star Wars: TFU
Marcus Fenix from GoW
Vito Scaletta from Mafia 2
Shepard from Mass Effect
Johnny Gat from Saints Row