It's hard for me to pick my absolute favorites, maybe because there aren't any, but there are many characters that I like or find appealing.
Characters from the game Baldur's Gate (spoiler!)
Khalid
Race: Half-elf
Class: Warrior

From the game:
Khalid nervously mentions that he was born and raised in Calimshan. He doesn't say much about his parents, but it seems that his merchant father didn't care much for him, paying more attention to Khalid's brothers. As a result, Khalid began to learn the art of war from members of the city militia. He doesn't reveal how he met Jaheira, but it's clear that he adores her.
Khalid and his wife, Jaheira, are among the main characters of the game. They are the ones who must help the main character on his dangerous journey. Unfortunately, he dies in the second part.
Khalid is a bit nervous, speaks with a stutter, but he is a good friend, a loyal husband, and an overall positive character. I don't know why, but he inspires trust, and I would go on a journey with him. He is the only warrior from the games that I like.
Garrick
Race: Human
Class: Bard

From the game:
Garrick says that he played in the Troubadours of the Valley Wind troupe until it turned out that the performances were just a cover for thieves operating in the crowd of spectators. Rejected by his old friends, he now just wants to travel and play music for those who will listen. He seems a bit naive and willing to believe anyone.
A young bard, an optimist, an adventurer, and just a good guy.
Kivan
Race: Elf
Class: Ranger

From the game:
Kivan says that he was born in the Silmyr Forest, but he hasn't been to his homeland for a long time. He wanders the world, driven by the darkest of passions – revenge. Several years ago, he and his girlfriend, De'Arnise, went on what was apparently a romantic journey, but they were ambushed by a gang of bandits. They were captured and tortured for the amusement of Tatz, the leader of the bandits. Eventually, Kivan managed to escape, but De'Arnise could not get out of captivity alive. Kivan is taciturn, and it is clear that he does not make friends easily. It seems that life will not be easy for him until he takes revenge for the death of his beloved. Kivan is cold and extremely unfriendly, and common rules of politeness do not concern him.
Although I didn't take him as a companion in the group, I like this character.
Haer'Dalis
Race: Tiefling
Class: Bard

From the game, before traveling with the protagonist:
Haer'Dalis claims that he is from the city of Sigil, the center of realities and a constantly changing realm of the Lady of Pain. He says that he cannot explain it in more detail, since realities cannot be described due to their changing nature. Haer'Dalis traveled with a troupe of actors, just like him – inhabitants of different worlds. They staged plays for the nobility and commoners. But some mistake led to the troupe having to flee to the Prime Material Plane... here... but Haer'Dalis is not very worried about it. He claims that he is a Fate's Guardian, and believes in the inevitable cycle of nature. The troupe split up, but the tiefling bard is sure that this gave him only new life experience.
After traveling with the protagonist:
Haer'Dalis traveled a lot with the protagonist through the Realms, and when they parted, he wanted to see more. He visited such diverse places as Waterdeep, Neverwinter, and Tay, fleeing to the next city from the troubles he got into in the previous one. Later, he befriended a Cambion woman, and together they returned to the Abyss in order to inadvertently stop a rebellion on several levels of the Lower Planes. For some time, Haer'Dalis was the most wanted target in all plans, but the anger of his enemies could not defeat his thirst for travel, and he returned to the city of Sigil unharmed. There he reunited with the Railis troupe and was glad to finally settle down - until the next disagreement, of course.
A charismatic and interesting character, a favorite from the second part.
Keldorn
Race: Human
Class: Paladin

From the game, before traveling with the protagonist:
Keldorn Firecam is one of the most powerful and respected members of the Order of the Shining Heart, and his goal is to get into the ruling echelons of this order. He prefers to fight on the battlefield, only there does he feel at home. Keldorn sighs and begins to count how many years he has served Torm, as a paladin of the noble Order of the Shining Heart. He has fought so many battles, protecting the defenseless and punishing evil, that he no longer remembers how many. A veteran of battles, with numerous scars and wounds, Keldorn is thoughtful when he talks about his future retirement and the possibility of spending more time with his family. However, when mentioning his family, Keldorn's eyes wander, and his face loses its usual features. With bitterness in his voice, he whispers that duty is more important to him than his personal problems, at least as long as the Order is with him. Keldorn often helps adventurers if their intentions are pure. He spends most of his time in the city of Athkatla, where the main halls of his order are located.
After traveling with the protagonist:
Keldorn Firecam thought that his travels with the protagonist meant the end of his active career, both as an adventurer and as a servant of the Order. He retired in Athkatla, hoping to live in peace, as much as an old warrior can hope for. But one day, the call to service came to him for the last time. This was a few years later, when Amn was besieged by giants. In his sixtieth winter, Keldorn, with five knights, held a strategic pass until reinforcements arrived from Amn. He stood his ground, but his wounds were so severe that the old paladin fell on the battlefield. As the knights saw, the hand of Torm descended from the heavens, and when it rose, Keldorn disappeared. Since that day, images of the True God have been supplemented by the valiant spirit of Keldorn in his right hand.
A man of duty and honor, a true knight.
P.S. In general, there are many interesting characters in BG, including negative ones.
Unfortunately, I don't remember anyone from other games, maybe I'll remember later.
Characters from movies, cartoons, and books will be later.