My top three have already been named, but I'll go ahead and name them anyway:
1) Corwin- protagonist of the first Amber chronicles by Zelazny. Just such a cool character, and with such a dysfunctional family. His poetic temperament and epic storytelling ability truly made the first five books memorable (and, unlike many, I actually like the second five books as well- I even like Corwin's kid, Merlin.)
2) Elric- Not much else to say about him. The character is just rife with roleplaying possibilities.
3) Gerald Tarrant- The "shades of grey" villain from C.S. Friedman's Coldfire trilogy. He is simply one of the most colorful, well rounded characters I've ever read about.
I'll go ahead and tack on one or two others:
John Daker (aka, the Eternal Warrior): Even moreso than Elric, Corum, Hawkwind, or any of the other characters from Moorcock's varied series, I've always felt the most connection with Daker. A man cursed to live an endless series of existences, never quite finding true happiness, and always fighting against the forces of Chaos and evil, while still struggling to retain his humanity.
Case (from Gibson's Neuromancer): This data cowboy is a really intriguing character to play in some sort of futuristic (D20 Modern/Future?) campaign.
Skeeve: Robert Asprin's Myth series is almost a D&D campaign (albeit a tongue-in-cheek one) in and of itself. It follows the first level magician Skeeve through his training under the demon (specifically, Pervect or Pervert, depending on who you talk to) Aahz. By the series' most recent novel, I'd say Skeeve is about mid level or so (10-12th level maybe), with a bunch of followers and a successful interdimensional operation. Most of the characters would be fun to play, actually (I'd probably take Aahz or Guido over Skeeve, in retrospect).
And then there's one that I actually have roleplayed in a campaign (albeit all too brief a campaign):
Julian: Corwin's younger brother, and the protector of Arden. One of the most interesting characters in the Amber novels (IMHO). The definitive Amber sequence is in Sign of the Unicorn, where the members of the family are all politicking and plotting in the library, and Julian lays it all on the line, letting everyone know how he truly feels about them. Classic moment.