I would say Lee from The Walking Dead Game. I've never felt so connected to a character in a game out of anything. Not Master Chief, or Ghost.
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I never really connect with characters in games. There are a couple books I've read where I really connect with the characters though. If there was a game that I was able to get emotionally attached too it'd probably be the characters in Portal 2. Oh and MGS3 was great! [Edited on 11.21.2012 9:25 PM PST]