Vimes, Vetinari and 71-hour Ahmed from Discworld; the Lannister brothers from ASOIAF; Belgarath and Prince Kheldar from the The Belgariad; and Harry Dresden from The Dresden Files.
There are so many, but I would have to pick out somebody like Raskolnikov in Crime and Punishment, and then goes, without saying of course, also the main character in Hunger by Knut Hamsun. They have much in comment. I also like the character Jens Bjørneboe often portrays as himself in his books. Oh, and talking about depressed middle age men, Dag Solstads "Archetype" in, well, basicly all of the books I've read, is also somewhat of a favorite.
Death from Discworld is definitly one of my favorite literary characters. I'm also quite fond of Mike "Lord Bear" Havel from S.M. Stirlings "The Change" series. He is just a total badass, and good leader and warrior.
Aww ****, I completely forgot about Manuel Komnenos from Rome Arisen. If there was ever a more awesome emperor of Byzantium, I have yet to hear of him.