:3 I'll do three favorites, all from the same series of games.
First! Favorite Hero.
Gremio! Suikoden 1
Gremio is the blonde haired, green cloaked, slow-as-snails, axe-wielding, stew-slinging servant of young master Tir McDohl, the main character of the first installment of this wonderful series. Faithful, loyal, kind, and wise, Gremio sacrifices himself to save the life of the main character during the course of the adventure. Eaten by flesh-eating spores. Yikes. Gremio also becomes the second soul to add its power to the main character's True Rune, the Rune of Life and Death, or, more commonly, the Soul Eater rune. Upon completion of the good ending, you're able to bring Gremio back to life using the powers of the True Open Gate rune! Happy day. :3 Gremio appears in the next installment as non-playable character, if you load in a perfect save-game from the first installment, to give you his famous stew recipe, which in the cooking mini-game with Hai Yo, is a powerful tool!
Gremio may just be a main character's side-kick, but I've always been attracted to the side-kicks in games. Goku's 'Krillin' (or however you spell little Baldy's name), Sam's Max, and other cool side-kick characters. Gremio supports the main character throughout the first half of the adventure, steadfast and always there, and doesn't suffer the internal struggles that the main character must face. Instead, he faces his own ordeals in the background of the main plot of the game, but not like in side-quests and cut-scenes, but lived through dialogue. If you look closely, you can see the tip of what must be an iceburg of a character.
Favorite Side-Character/Anti-Hero
Clive, Suikoden I & II
Clive is a rare character. In the first game, he can only be recruited very late in the game, close to the final levels and bosses, and even then, only with good luck and lots of persistence. Clive is one of the only gunners in the Suikoden world, and looks a lot more Western than many of the Eastern styled heroes. He uses a long rifle called Storm and shoots as a powerful long ranged fighter from the back. He's decent with rune magic, too. His story is mysterious, and you're never quite sure exactly who he is, what he's up to, or where he's going until the second installment.
Clive is further explored in Suikoden II, and even gains his own storyline. Unique about that story-line is that it involves chasing a woman named Elza around the game's world map from location to location, many locations not unlocked until certain storyline elements have been achieved. But there are time requirements! If the game's clock reaches a certain number of hours before you reach the location, Elza has moved on, is no longer there, and you can no longer proceed with Clive's story to find out just who this Elza woman is.
One goes on to discover that Clive is a member of Harmonia's Howling Voice guild, a guild of elite gunners that use sentient, rune-magic laced firearms. There's a long history of love and vengeance that is unraveled as Elza lay dying to Clive's bullet at the end of the optional quest. It's heartbreaking and tragic, and it shows in all of Clive's dialogue before, and after.
While Clive is just a side character, is story is so deep and riveting.. and yet if you're not an obsessive Suikoden fan like myself, you'd completely miss it! That's what I love in my video game characters, and Clive gets my spot, easily, for Favorite Anti-Hero, Tragic-Hero, and Side Character.

And finally.. Favorite Villain! >D
Prince Luca. Suikoden II.
The Suikoden series has many awesome villians who range from the mysterious, like Yuber the armored knight from another world of Suikoden I, II, and III, to the cunning and brilliant masterminds, like Luc in Suikoden III, to the just down-right Bad-ass, like Prince Luca of Suikoden II. >3 While there's nothing truly cunning about this villian, and nothing really mysterious, Luca is just plain, simple, evil. From the first moment you see him, you know he's the head honcho bad-guy, burning your village to the ground! He doesn't stop there, though. He ends up burning to the ground no less than THREE more villages you'd come to know and love, and comquers the city of Muse, your previous home base. Luca is a constant thorn in your side with his cunning generals in the Mass-battle sequences and his stalwart defense of all those ports you wish you could pass through. >D
The game really does a great job making you really dislike this fellow. From burning to the ground helpless farming and lumber villages in order to start the Jowston war, for the sake of starting it and finishing what his father had started years before, to slaying Pahn, and nearly slaying little Pilika, by the time you get to face this brute in battle, you're ready for it!.... or so you thought!
Suikoden II did something I've yet to see any other game pull off, with the Prince Luca Blight battle. You get the first hint that slaying Luca is going to be tough when the game asks you to select your party of six people... and then six more.... and then six more. That's right. Three full teams are needed to defeat a single man. The battle begins as an ambush in the forest. Dozens of archers fire upon him and his troops. The first team then rushes in, and is driven back by Luca's powerful fire sword techniques, capable of hitting several of your party members in a single turn, or maybe it's the fact that he gets to attack twice. Surviving these battles... is not an easy thing to do! After the first attempt, more arrows, and the second party moves in to help finish the job. Again, driven back. More archers, and at this point, Luca is looking like a porcupine, but his attacks are not slowing down! Your final party is able to defeat him, but even at his death scene, he's standing, covered in arrows, laughing, and initiates a private duel with your main character, which, by the way, is not an easy duel, either! >3 All of this effort, preparation, story, dialogue, and the cut-scenes in the fire lit woods, all create a scene that I will never forget. Ingrained into my mind is just how bad-ass Luca was, and everything I had to do to take him down. >3 Pfft. Defeating the final boss gave me less satisfaction that overcoming Prince Luca. :3 Easily, my favorite villain.