Lara Croft, since Tomb Raider (II more specifically) was one of the first games i've ever played.
Jill Valentine, Claire Redfield and Ada Wong, from Resident Evil series. I'm a huge fan of the series, and was never able to figure out which of the 3 is my favourite, when i think its one, i play a game with one of the others and go back to the starting point...
FemShepard from Mass Effect trilogy. I know she's not a proper character, since she's based on the player's choices, but the voice actress did such an amazing job that i really loved the character i "helped" in creating.
Finally, a mention to Ciri, Yen and Triss. They could've been higher, but Ciri and Yen only appear in TW3, and i wasnt able to play TW2 to see Triss in all of her glorious moments.