Some of my favs:
Annabeth Chase - "Percy Jackson and The Olympians" by Rick Riordan - She's intense. She never gives up, and always fights for what she wants, whether it's winning a battle of finding Percy when he's lost. She's argumentative, bossy, and strong.
Jay Gatsby - "The Great Gatsby" by F. Scott Fitzgerald - now, he's not the greatest person out of all the characters I like, in fact he's a bit close-minded, and completely unable to face the changes in his life or losing Daisy. The entire life he creates for himself is to get her back - and while that's unhealthy behavior - I can't help but love him for it. It's a fascinating aspect to think about someone who is that stuck outside of reality.
Luxa - "The Underland Chronicles" by Suzanne Collins - Unyielding, almost to a fault, but she's willing to do anything for her people (she's the future queen of Regalia), even if it means risking her own life. And I love the dynamic between her and Gregor...
Gregor - "The Underland Chronicles" by Suzanne Collins - His dedication to his younger sister is admirable, as is the way he commits himself to helping out Luxa and the Underlanders. He's willing to make alliances between different species of animals, when the Underlanders refuse to, and his sacrifices help the Underlanders survive the war.
Dexter - "Dexter" on Showtime - Technically, he's a literary character from Jeff Lindsay's novels, but I like the TV version better - and yes, he's a serial killer - but he doesn't necessarily want to be. Plus, he's a serial killer who kills other serial killers and murderers. He has a set of codes and rules that he follows and he tries to be a good person, and tries to have the emotions of a normal person. How can you not love him?
Dana Scully - "The X-Files" - Yes, another TV show...but I love her (almost as much as I love David Duchovny - okay...not quite that much). She's intelligent, and uses her science to prove Mulder wrong (or right, as the series progresses). She sacrifices everything for Mulder and follows him often blindly, and yet keeps him grounded and focused and with purpose. She doesn't let the fact that she's a woman, or working on the X-Files, get in the way of progress (in the FBI, in cases they work, in finding Mulder, or in her life, later on).
and while we're on a tv roll (and speaking of David Duchovny)...
Hank Moody - "Californication" - He's rude. He's crude. He's addicted to all things dirty - but he's hilarious, witty, smart, and impossible not to love. And even in all of his self-destruction, he loves his daughter and semi-wife-girlfriend, and does whatever he can to be with them. He's unapologetic - and totally awesome.
Sam Gamgee - "The Lord of the Rings" by J.R.R. Tolkein - probably the most loyal character of all time, sticking with Frodo through the worst of situations - following him to the end, doing his best to take care of him. He's the definition of a loyal friend.
Hermione Granger - "Harry Potter" by J.K. Rowling - because the most important thing to her is her schoolwork and succeeding in learning and yet she gives it all up for Harry and the quest to defeat Voldemort. She never once complains when they don't have enough food, or when things are going horribly when she, Harry, and Ron are out in the world searching for Horcruxes, and she always does more than is expected of her. She is one of the greatest characters in literature with the best type of character.
Gwynplaine - "The Man Who Laughs" by Victor Hugo - He's selfless, doing everything for Dea, and even though he spends his entire life being laughed at and made a clown for the smile permanently carved onto his face, he's a good person. He remains that good person, even after being made a member of The Peerage and given all the worldly goods he could have, and wants nothing more than to be back in his traveling carriage with Dea and Ursus.
And a few others you aren't familiar with...
Who are your favorite characters? Seriously, who do you like?