It's a hard question I can't pick one character there are so many but off the top of my head the character that has stayed with me is Zsadist from J.R. Ward's Blackdagger Brotherhood series. He's one seriously tormented anguished character who's experienced unbearable tragedy and abuse for 100 years. He's pretty terrifying but there is just something about him that makes you wonder maybe there is more to him. And oh boy was there! I was captivated by him from the very first book. I was totally enthralled by him. He's physically scarred, doesn't like to be touched and likes his personal space very much. To get around all that and break through his barriers and see him discover good in life and happiness and love was very VERY addictive. His book Lover Awakened (book 3) was just heartwrenching and wonderful on so many levels.
Like Gena mentions here seeing a character find redemption and find love is what makes a story and character's journey so enthralling. Characters who aren't perfect, are rough around the edges and not looking for anything are the ones that surprise you the most!