Telltale Games managed to create a character that players truly got inside the head of. See, Lee's decisions are actually the player's decisions, making Lee a reflection of the player's value system. But besides all that psychological mumbo jumbo that I just said, he's someone we'd definitely put our trust in during the zombie apocalypse. In fact, we'd hate to brave an undead wasteland without him.
Handsome Jack (Borderlands 2)
One of the things missing from the original Borderlands was a true antagonist. Gearbox realized this, and made up for it tenfold with Handsome Jack, perhaps the most hilariously sociopathic video game character we've met since GLaDOS. And he's a ton of fun to hate, too.