I can list quite few myself
Millia Rage-Guilty Gear (I use her mainly when I get my ass owned at arcades. Also, her style of attack is perfect for my skills. :rock
Veigue Lungberg-Tales of Rebirth (KUURRRRRREEEEEAAAAAAA!!!!!1!)
Luke Fon Fabre(Long Hair)-Tales of the Abyss (Before cutting his hair, Luke was pretty interesting for a main hero. He was selfish, greedy, and overall very rude. But then he became a stereotypical wuss)
Morrigan-Darkstalkers (She fits my playing style the most in 2-D Fighters)
Jill Valentine-Resident Evil (I know that Chris Redfield is supposed to be the main character in RE, but Jill is just cooler)
Henry Townshend-Silent Hill 4 (Honestly, this was a tie between James and Henry, but I found Henry's personality better overall. He was different from your average survival horror main character. He wasn't some battle hardened soilder, but he was righteous. He even tried to save everyone he met during the ordeal, even if he should have been discouraged. I say that's pretty admirable.)
Luigi-Mario (Well, everyone knows that Luigi>Mario)
Ratchet-Ratchet and Clank (I can never figure out why I like Ratchet really. He's pretty generic when it comes to heroes, but I think that's what makes him stick out. He's simply a person with a thirst for fame and a shot at being a hero.)
I'm sure that there's more, but I can't think of em right now.