The coolest thing right this minute is a Halfling rogue con artist who gets into trouble in his hometown and has to burn his identity. So he flees to another city, styles himself as a knight in some ridiculous, imaginary fey court who's been stranded in the Prime Material and seeking his trusty steed (a corgi or an giant owl or something) so he can go back home to this fairyland he's cooked up. He buys a suit of leather that's styled like gothic jousting plate, affects courtly manners and bearing, and passes himself off as a cavalier with a storied past, sort of a Baron Munchausen flim-flam.
He keeps the ruse up for a long time, learning all he can about courtly etiquette, the fey, and martial tactics (take some levels in fighter, battlemaster or eldritch knight both work,) and has gotten comfortable enough in the persona that he likes being that character better than he liked himself before. While he's secretly, deeply ashamed that his new life is a lie, his chivalrous behavior has become a source of pride, and he's earned high regard among the people of his new home.
The DM has a few juicy options for further development at this point. The little knight could find some magical device or creature and declare it to be his long lost steed, his past could be revealed in some spectacular fashion, his old associates could come in search of him, either to kill him or to blackmail him now that he's a man of (snicker) stature. Some fey entity could take notice of his deception and either punish him or praise him for it, or even fabricate a little barony in faerie to support his ruse. There are all sorts of directions in which this character could develop.
