Leroy Jenkins - It is the only thing I think I will remember from World of Warcraft. Cassandra DeVries - I love that name for a villain. There is something really sinister and snivelling about that name. Another example of Rare's genius. Tommy Vercetti - Both the most cliched and most comfortable name ever given to a character in a setting like Vice City. I feel way more in character as Tommy than in any other free-roaming game. Ricky Winterborn and Rob Haywood - How do Left Field think of such amazing names? Harman Smith - Seriously ****ed up guy.
Guybrush Threepwood - Monkey Island
Manny Calavera - Grim Fandango
Duke Nukem - Duke Nukem
Sephiroth, Vincent Valentine - Final Fantasy VII
Gordon Freeman, Dr. Breen - Half-life
Simon Belmont - Castlevania
Kratos - God of War
Henry Stauf, Hamilton Temple, Brian Dutton, Matrine Burden - 7th Guest (in general, this game had names well-suited to their characters)
Paxton Fettel - F.E.A.R.
Max Payne - Max Payne
I missed Max Payne. In fact, most of the names from that game are pretty memorable.
Finito Brothers, Vinnie Gognitti, etc.
Also: James Bond, and Mr. Anderson.
I'm annoyed at the Matrix for utterly ruining the last name of Anderson. I mean really, it is just unusable without people thinking of Agent Smith.