For me it is Chloe from Detroit Become Human. I like her because she is beautiful, expressive, she breaks the fourth wall and evolve alongside with me the player. It is like she is being affected by my choices in the game.
That's a hard one, it is probably my favourite, but that is from someone who played Borderlands 1 and 2, and enjoys Telltale games. I do think tales is good, but some of the impact is derived from characters or elements from the other games.