That's a tough one, I know I'll forget a few and I'll hate myself in the morning, but here goes:
Warcraft 3: Arthas
The change he went through during the campaign was incredible.
Clementine from the Walking Dead
I only played the first season, but she made such a huge impact. People may give me slack for it but I thought she was an uncomparably better character than Ellie from TLoU. Incredibly believable.
Liquid Snake, from the 1st MGS
The first MGS was grounded in realism, and all characters were on the brink of being truly believable. Liquid Snake with his fatherissues in his struggle to beat his genetically superior brother, only to find out later he was the superior one all along, legendary.
Garrus Vakarian, Mass Effect
Loved that guy the more I talked to him, specifically in ME1, especially the Dr. Heart sidequest.
Has to share this spot with Saren too, one of the best antagonists in gaming for the past decade.
Duke Nukem. Hail to the King baby. Sure, DNF wasn't all it was cracked it up to be, but he is still one of the biggest badasses in this industry. When feminists scream bloody murder that all women in games are portrayed unrealisticly, I simply reply "hey, I don't exactly look like Duke Nukem either, but it's nice to live that illusion for just a little while".
Talked to a 20 year old colleague yesterday, never heard the name before. Set him straight. He knows now. As he should.
Deckard Cain, of Diablo 1 and 2 (3 was a sham, never happened)
Alma, from Fear 1
Pyramid Head, Silent Hill 2
Nemesis, Resi 3
Killer X, Condenmed 1 and 2
Max Payne (1 and 2 ofcourse, 3 sucked)