Eh... Not an easy question actually... So I'll do what Nachos did and break it down into a few....
Tatsuya Suou: (Persona 2: Eternal Punishment and Persona 2: Innocent Sin) He has an excellent background if you consider the stories of the two games, he pulls off the dark and brooding, while still heroic, thing to a fine art and he wields a sword where everyone else uses silly guns Bravo!
Sephiroth (Final Fantasy VII): Erm, I shouldn't have to say anything really, he's just cool beyond belief, and one of the greatest bad guys in videogame history...
Miang (Xenogears): One of the more enigmatic figures of Xenogears, nevertheless probably my favourite, she's a manipulative, brooding, evil super*****. Inderd.
Melfice (Grandia II): Thought the game sort of lost pace once his role in the story is finished, the fight with him is undoubtably my favourite battle in the game and he has a fairly interesting back story...
Schala (Chrono Trigger / Chrono Cross): Chrono Trigger made me like her. Chrono Cross made me like her more Certainly to me one of the most interesting game characters to date...
And err, probably hundreds more I'm forgetting