I won't provide context, because it can suck me in for hours.
Nah. And I never played these, anyway. From the top of my head, Morrigan from Dragon Age: Origins and Leliana, but much, later, in Dragon Age Inquisition. Josephine - from DAI too - some characters just shouldn't exist, sadly, she's too good to be true. There's great character cast in all of these games, though.
Fall-From-Grace from Planescape: Torment. I always found her intriguing, as hell. Ironic, considering, that she's a succubus yet takes pretty unorthodox apppoach on feminity, than the rest of her kind. In this game the only one, than can, who topple her charm is
Morte Ravel Puzzlewell. She's your classic hag in appearances, but hell, she's so awesome, when you start to realize, how influential she are. How omnipresent. She's the kind of woman, that can drive you mad in Lovecraftian kind of way and you'll still follow her. *wink*
Lady Aribeth de Tylmarande, paladin of Tyr, from Neverwinter Nights 1. Especially, it's expansion, called Hordes of the Underdark. She has pretty rough story, that unfolds before your eyes in original game, but you get to know her motivations better in HotU. There was also bard companion, named Sharvin, but I played this game more than ten years ago - it was interesting character, yet kill me, I can't remember details. Blame Aribeth for that.
Snow White in Telltale's game "Wolf Among Us" is not what you expect from that kind of game with that kind of protagonist. She's never, what you expect. Though, whole cast here is just perfect.
That's all, for now.