Jo March from Little Women. Is that how to spell their last name? I don't really remember.

Haven't been able to really feel as close to any other book characters. Perhaps maybe Sirius Black from Harry Potter.

Edit: A character I was really annoyed by was Becky Bloomwood, the main character in the Shopaholic series by Sophie Kinsella. That character annoyed me so much because I kept thinking "when will she stop being so unreasonable?" and "why is she putting herself in such situations?" yet I got so relieved when things actually did work out for her.