OMG, my list of favorite literary characters is ridiculously long.
I love Seregil i Korit of the Nightrunner series by Lynn Flewelling. He's just a really cool, three-dimensional character and I seem to have a soft spot for thieves. <3
Zillah, Twig, Molochai, Christian, Ghost and Steve of the book Lost Souls by Poppy Z. Brite are all very memorable.
Aziraphale and Crowley of Good Omens by Neil Gaiman and Terry Pratchett also very memorable. Especially Crowley and his love of Queen. <3
Jacob Cullen from As Meat Loves Salt by Maria McCann, because part of me wanted to beat him with a stick, yet another just sympathized with him for some strange reason. Reading that book was an emotional roller coaster because of him.
Elena Michaels from Bitten by Kelley Armstrong, because she is a ridiculously kickass female character (which seems to be rare nowadays). And her ways of dealing with her over-bearing, over-protective, slightly psychotic boyfriend, Clay, is hilariously entertaining.
Then there's Pellaz and Cal from the Wraeththu series. Hazel, Fiver, Bigwig, Bluebell and General Woundwort from Watership Down by Richard Adams. Johnny Truant from House of Leaves. Dorian from The Picture of Dorian Gray. And I'm embarrassed to say many, many, many, many more.