Man, there's too many of my favorites! I have to think for a sec...but here's a few of them.
Cloud Strife- Yeah, I know most people are like "Everyone likes Cloud" but hear the reasons why, because there are a few good ones. Cloud was original in every way when FFVII first hit the scene; Before there were a lot of main heroes with real problems (Tidus, Fei and Ramza just to name a few), Cloud was there, with a serious storyline and some major mental issues (half of them put there in the first place by Tifa). You actually cared about what happened to him; you wanted to see his problems resolved and how he becomes his own man, not just some wannabe SOLDIER in the image of a guy he used to know. His fighting style was cool (ninja-like speed with a sword like that? You've gotta love it) and he had a lot of originality. Plus, he gets better with age; you have FFT Cloud, reflecting on the loss of Aeris (you can tell he really cared), and the total badass KH Cloud, who looks, fights and acts even cooler than the first two, and literally sold his soul for the woman he loved. That is a character.
Auron- Auron was totally awesome...he had the big sword, the cool attitude, the works. He had several references to a "ronin", like hanging his arm out of the sleeve, carrying an enormous jug of sake, and the haircut. I thought that was really interesting about him. Plus, he never, ever took crap from anyone.
That's a very important trait IMO, because I can't stand it when you try to be all badass, then you're buddies suddenly think they've got some cajones and will start ragging on your actions, only to have you believe their words and do what they say, like Squall did in Disc 3 of FFVIII. You look like a total poser (which Squall kinda was, but he's still cool). Auron on the other hand, would've knocked Zell's teeth out and held Quistis at sword point for such a comment. That just rocks.
Link- The OG adventure hero. You've gotta give it up to Link, he's got the good storylines, cool gadgets (like the Hookshot) and he literally has no fear of anything. If he were to trade up that Master Sword for say, a legendary katana though, he'd go up a few notches on my list. :D
Other notables for my list:
Mario- every Mario related game known to man
Crono- Chrono Trigger
Knuckles- Sonic the Hedgehog
Dias Flac- Star Ocean: The Second Story
Squall Leonhart- Final Fantasy VIII
Marth- Fire Emblem: Monshou no Nazo
Shion Uzuki- Xenosaga: Der Wille Zur Macht
MOMO- Xenosaga: Der Wille Zur Macht