John Marston for me too. He was a very well developed character and since you see this great open world through his eyes it is easy to become attached.

I also had a strong connection with Crono from Chrono Trigger. Even though he doesn't talk, you do become engrossed from his story, from the very beginning when he wakes up in his mom's house. I really identified with him, probably because I'd love to go on an adventure through time.