It's hard to pick a character, as a player you can either have a strong connection with a character through childhood memories or be effected by the character's story.
Through childhood memories I'd have to say Luigi because I'm a Nintendo nut I guess, he always had a charm as he had actual character development as opposed to Mario. Through a characters story, I thought Max Payne was a really well developed character, the trilogy really tied in his resolve, and I think Solid Snake is a radical dude who likes to stealth nude, although what a shame David Hayter won't be voicing Big Boss for MGS5.
My favorite villain is also a bit difficult, I took into thought characters with a great backstory or just were very menacing to me.
As a joke, every rare and unusual epidemic virus in Trauma Center, can't mess with em. Although Rosalia in Trauma Team was a very neat accidental villain, as her murder caused many others to die via an at the time uncurable virus carried by butterflies. As a child, I honestly though of Master Hand from Super Smash because he always made me think a higher entity is pulling all the strings behind the scenes.And in Super Smash Brothers Brawl him being defeated by an even higher being was really great. Maybe G-Man too because he's similar being an unknown entity created so then Gordon Freeman was released when it was important, like a King and a pawn. Hnnng also like Lucifer or somethin' in Shin Megami Tensei Nocturne because you have to pledge allegiance to---
Gah I can't decide, so maybe I should just pick a villain that I really enjoy seeing, that other than Bowser because he's such a kidder. Uhh, perhaps-- I'll get back to you on that one I need to take a long walk on the beach.