Master Chief from the Halo series! I've been playing Halo since 2001 and have been hooked to him ever since!
Infinite respect brah. Master Chief is one of my favorites too.
But my list of all-time favorite characters is seemingly endless, mostly because a lot of these characters are connected to me in some way. To name a handful;
-Dominic Santiago from the Gears of War franchise.
-Jorge 052 from Halo Reach.
- Sergeant Major Avery Johnson from the Halo series
-Isaac Clarke from the Dead Space Trilogy *saga(?)*
-Ezio Auditore da Firenze from Assassin's Creed 2-Revelations
-Commander Shepard from Mass Effect *well, my variation anyways*
-Tali Zorah vas Normandy from Mass Effect
-Wrex Urdnot from Mass Effect
-Thane Krios from Mass Effect.
-John Marshton from Red Dead Redemption.
-Michael DeSanta from Grand Theft Auto V.
............
and that's just naming a few, mind you. I could go into details on why each of these characters would be considered some favorites, but that'd be the equivalent of writing a novel, and ain't NOBODY got time for that :P .