My FemShep from the 3 Mass Effect games & Captain Walker by are by far my favourites, especially Walker I found him to be one of the few "real" characters in the latest games, I felt for him and could relate to the choices he was forced to make. Wei Shen is a good character but he is a bit too all over the place and his motivations are too vaguely explored to make him appeal to me, Nico from GTA IV was better written though I would like to see more of Shen in the future.
Death.... well Death is growing on me, I like his wit.