Fox McCloud, an ace pilot constantly harassed by an evil low-polygon floating monkey head. From Starfox.
Guybrush Threepwood, a mighty pirate who can hold his breath for ten minutes. From Monkey Island.
HK-47, a droid custom built for murder and condescending sarcasm. From Knights of the Old Republic.
Revolver Ocelot, needs a wallchart to keep track of who's side he's actually on. From Metal Gear Solid.

Shame we can't have three winners :|

I'm assuming (and hoping) your implication was that Fox McCloud sucks. Seriously though, this is a tough one.

None of them are particular favs of mine, but I agree they are all about as cool as each other.