In most games I would play as pretty much any character, but for these few games I do have a preference:

Street Fighter 3: Makoto

Soul Calibur 2+: Raphael, Setsuka

King of Fighters: Rock Howard when available, K' (my avatar/sig pic)

CvsSNK2: Rock Howard, Ibuki, Sakura

Dead or Alive: Hitomi, Hayabusa

Smash Bros: Marth, Link (both characters always in white costume)

Mortal Kombat: Sub Zero (cuz he's blue. Don't like the games much otherwise)

Guilty Gear: Venom, Ky Kiske

Bloody Roar: Long

Tekken: Raven