That's really hard to narrow down.
In all around style I'm going with Thrilla Gorilla. The late 80's/early 90's were a special time.
As far as story and shit like that, I'd pick John Marston from Red Dead Redemption.
Conker the Squirrel nailed my kind of humor. I'd like to see another game with him in it.
Then there's the usual suspects: Link, Mario, Samus (Pre Metroid Prime), Luigi, Toad, Sabin (FF3), Frog from (Chrono Trigger), the rest of the characters from Chrono Trigger, Simon Belmont, Pit, Little Mac,
This list could go forever.