Mine has to be Anomander Rake from the Malazan Book of the Fallen. He's just kickass; He owns the sword Dragnipur which imprisons the souls of its victims, his Soletaken (shapechanging) form is a giant black dragon and happens to be the son of Mother Dark. He's just an all around interesting ascendant in Steven Erikson's masterpiece and by far my favorite.
A close second would be Ganoes Paran from the same series.
Who's your favorite fantasy character?