Here is my very long list:
Master Chief, Halo Series: He's basically invincible and somehow when he picks up alien weapons he automatically knows how to use them almost.
The Trainer, Pokemon Series: Why? He gets to go on an awesome journey around the region he lives in.
Crono (Or how ever you spell it), Chrono Trigger: Think about it, he has the power of lightning, and he goes on an epic journey through time to save the world.
The Dragonborn, Skyrim: Well you're basically a guy who can shout people to death and you save the world.
Captain Keys, Halo Series: I haven't played Halo 2 so I don't actually know if he dies a horrible death, but he's the captain of a SPACE SHIP!
Dante, Devil May Cry: Think about it
Nico Bellic (Don't know if I'm spelling it right.), Grand Theft Auto IV: He does tons of awesome stuff all the time.
Rico Rodriguez, Just Cause Series: Well he goes on awesome missions for some agency.
Steve, Minecraft: He can punch down trees! He must be strong.
Chris Redfield, Resident Evil: He's just awesome, I don't think anyone else has mentioned him.
