Link from Legend Of Zelda because action speaks louder than words. :)
Hes a frickin cool dinosaur!
Cloud. He's just too badass.
With those two examples, is this question limited to game characters?
Felix the Cat, maybe. He was just too cool.
I like the Spyro idea, but, going off the beaten track slightly, I'd be Alister Azimuth, from R&C: A Crack In Time. Who can't love that staff/wrench thingy he has? It's awesome!