I find this sort of question very interesting. Here are a few points I’ve considered for this question.
1: Sometimes, one’s favorite character isn’t necessarily a good or even well-written character. Samus (from Metroid) and Chell (from Portal) are very popular characters, but the characters’ personalities are mostly implied.
2: It’s pretty common for protagonists to have weak characterizations, presumably to allow the player to self-insert. Regardless of gender, I’d argue that most protagonists aren’t strongly characterized enough to be evaluated as interesting characters.
3: Because of 2, the most well-developed and interesting characters tend to be important characters other than the protagonist.
I think a lot of us would find this question MUCH easier if we included important characters other than the protagonist.
Still, to answer the question, I’d say that some of my favorites are:
Commander Shepard (her voice actress conveys her so well!),
the nameless main character from They Bleed Pixels, and
GLaDOS. I know, it’s kind of cheating, but it really feels like GLaDOS is the ‘main character’ of the Portal series, even though you don’t play as her.