Father Grigori from Half Life 2 and Lautrec from Dark Souls are two examples that come to mind for me. Grigori is just such a fun and mysterious character to me, not to mention the unforgettable climax in which you fight alongside him. It's one of my favourite moments in the series, and I was sad to leave him.
On the other hand, I feel Lautrec's subversive writing is what makes him so special: his actions make for a simple yet interesting story to follow, while also ingeniously making him appear purely as a villain - and one may leave it at that, but if you pay closer inspection to the finer details and the story as a whole, one may find Lautrec to not only be something of a tragic figure, but possibly someone who possess more in common with an anti-hero who wishes to assist you than a villain who wishes your hinderance.