GTA series doesn't really feature too many nice characters to sympathise. But I think that my favourite one is Asuka Kasen from GTA III. She is neither better nor worse than others, but there always was some fatalism in each briefing with her, which was interesting, like from the very beginning she had known that her Yakuza's gonna collapse soon leaving her dead. Also, her expressions and behaviour were pretty funny, and she treated the protagonist pretty well. It was shame to betray her and to kill her brother.
