Basically what the title says.
This isn't gameplay-wise, but in terms of the characters themselves. Personality, abilities, overall setting in their games, catchphrases, that kind of stuff.
I personally LOVE Big Daddy. A man that gets trapped in a diving suit for the rest of his life, and is tasked to protect little girls from all the danger in Rapture.
He acts like a wild animal protecting it's babies, and boy, you don't want to get him mad.
So, which character in the game is your favorite?