It's hard for me to settle on one character, there are so many that I've met through the years and all the books I've read, but I chose Phèdre nó Delaunay from Kushiel's Dart, by Jacqueline Carey.
Not for all the terrible things that happen to her, or her sex life, but just to be part of one of my favorite romances between Phèdre and Jocelin. And it would only be in this book, since this is where everything began. While the next two books in this series are as phenomenal as the first, this is the part of her story that I enjoyed the most.
Phèdre has a beautiful, poetic voice. Even when she describes the terrible things that happen to both of them, she never loses that poetic quality.