Oh boy, so many... Here are my top picks though! Sorry in advance for the pic-spam...
Anime
Saber from Fate/Stay Night (among others)
She looks good, has cool armor and with a dutiful and honorable personality. It's so hard for me to find female anime characters that I like (and I do Think Saber sometimes gets screwed ove in the Fate series) but when it comes to anime she's definetely my no. 1 pick.
Video Games
Samus Aran - Metroid Series
Nuff said. The only blemish on an otherwise perfect character is the Other M game. Needless to say I raged!
TV Shows (I couldn't pick just one)
Al Swearengen - Deadwood
I don't even like westerns. But Swearengen is probably one of the most realized characters I've ever seen in any medium. Smart, calculating, rough as hell around the edges and willing to go to almost any lengths to realize his goals. He's also funny as hell and has a soft spot for some people/matters.
John Luther - Luther
Again, I'm not really that interested in crime dramas. But John Luther is such a captivating character. He's a good-natured short-fuse mess of a genius detective. Hampered only by his own personality flaws.
Movies
Jack Sparrow - Pirates of the Carribbean
Such a wonderful character caught in such a so-so Movie series. If not for Johnny Depps unique pirate I'm not sure I would've even watched any of the films beyond the first one, and I friggin love pirates.