John Marston (Red Dead Redemption)- The game itself is amazing. But its truly John's character drives you in. Once an outlaw, John robbed trains, held up banks, etc. with his old gang. Years later, he becomes a farmer with a wife and children. Though he is forced by government agents to hunt down his old gang, you can tell that he is eager to the past behind. He turns down hookers and helps citizens in need. As he powers on through bullets, wild animals, etc., you almost find it hard to believe he was an outlaw to begin with.
Nathan Drake (Uncharted Series)- Take some of Lara Croft's agility and marksmanship then combine it with Indiana Jone's wit and you get Nathan Drake. Though he may be another treasure hunter, Nathan remains a comical and laid-back character. He resides in a world populated by thieves, con-artists, etc. But at the same time, his willingness to put in himself in harm's way for friends and the world makes him all the more admirable. Although he tangles with mercenaries, ancient monsters, etc., he is still the kind of guy you could hang out with at a bar and have a good time.
Ezio Auditore da Firenze (Assassin's Creed Series)- The reason why this character is so great: his transformation. In Assassin's Creed II, Ezio starts out as a playboy who fights boys who are just as jerky as he is and sleeps with whatever girl he can successfully charm. But when his family is killed, he is flung into the assassin lifestyle, being trained on how to move along rooftops and use a wide variety of weapons and gadgets. Though he dismisses the idea at first, his desire for revenge wins. As he matures, the playboy we first meet becomes a light-hearted but dangerous warrior. His evolution is almost as incredible as Bruce's Wayne transformation into Batman.