Everyone has their favorite characters, and many times its for incredible simple reasons. They make you smile, you "think they look hot", or they do something totally epic that totally bogles your mind.
For me, my favorite video game character is Ike, from Fire Emblem: Path of Radiance. And though the reasoning is somewhat simple, the explanation is not.
I like Ike because in the two FE games he was in, he was true to his character through and through throughout the entire time. Seriously, if you look at Path of Radiance, then go to Radiant Dawn, there's only a few small differences between these two versions of Ike. And the only part of his personality that was changed per se was his experience in leading the Greil Mercenaries, which lead to more confidence leading it going forward until he had it well in hand.
Ike is such a pure character. He's incorruptible, and for actually fleshed out characters in video games, that's rare. A lot of people make fun of his Smash Bros. like "I fight for my friends" when in reality...that's who Ike is. He FIGHTS for his friends when they need him. It doesn't matter what class of society you are in, where you are from, what race you are, if you are his friend, he will die for you if the need was there.
He's so selfless, and wants to do what's right, but he's also incredibly humble. Wanting nothing more than to be a simple mercenary like his father. Ike was given the title of Lord, twice, and put in charge of a grand army, twice, and then when it was all said and done, he gave up that title...TWICE! Who does that?
Ike is someone I would like to strive to be like, to be that tough, that selfless, that humble, to help others when they need it with little to no reward. That's class. And that's why he's my favorite video game character.