King Yaroglek of the Nords in Mount & Blade, because he always saves my ass. Damn, I just noticed how I had so many games but barely any of 'em has memorable characters. I'm gonna go with Jyggalag in the TES Series as well as Azura.
Octovon;5022885Kratos is indeed awesome, but I'll have to go with Shalashaska, also known as... Revolver Ocelot. Placing a close second and from MGS3, I'll have to say The Fear (love his intro).
What about the Pain? Everyone loves BEEEEEEEEEEEEEEEEES.