I really like Ellie from The Last of Us, and Chloe from Life is Strange is a lot like me in some ways (blue hair, punk, adventurous, angry at life because of family issues) but unlike me in others (very naïve, loud voice, bit more of a teenager in general). I like Gauge from Borderlands 2 (partly because of her look and abilities, but mostly because she randomly screams "Anarchy!" in battle sometimes, and I identify with that) and Zer0 from the same game is also cool. Lulu from Final Fantasy X looks kinda like me irl, except that she's much more feminine than me atm, and I love her dress and the way she casually brings her teddy to fights.
Some video game characters deserve a mention, but don't quite make my list because they originated in other mediums: Jackie Estacado from The Darkness (I love the original comics) and Geralt of Rivia, from the Witcher series (in this case, I enjoy the latest game more than the books. The Witcher 3 was amazing, but I do like the book's version of Geralt a little more). I like Ciri, too; she's a badass and I love her hair.
My new absolute favorite is Markus from Detroit: Become Human. I really like his character, and the changes he goes through in the game; he's got a little bit of Neo, Martin Luther King Jr, Ghandi, and idk what else wrapped up inside of him, and all the parallels to history and other bits of modern culture makes him really interesting to watch and play. I made him a pacifist my first time through, and I'm curious to see if he'll end up more like Malcolm X or something if I make him violent for my second run.
Connor was cool too, and more attractive and approachable imo, but I liked Marcus' character and story more overall, so Connor gets second place on my list.