There is only one Arthur Morgan. Nothing comes close to this character for me and there are only a handful of games that would make you feel and care for a story and for its characters in a similar way like Red Dead Redemption.
Some other notable ones as main characters would be: Commander Shepard, Lara Croft, Ezio Auditore, John Marston. For the side ones: Sadie Adler, Sarah Kerrigan and Marcus Fenix. Probably I missed some, but Arthur and Shepard would be at the top, the rest don't have a particular order.