I've got 3 characters I really regret not finishing.
1. A character who was bought from her parents at the age of 5. Raised to be the bodyguard and personal servant for the youngest daughter of a minor noble family. As her charge has gotten older, she's gotten a little psychotic when it comes to security. Some nights donning a mask, and assassinating the family's enemies.
Build was a super boring Max HP Vigilante, with Fist of the Avenger, but I would have loved to play the character for more than three sessions. Especially since the game was 50% comfy day-to-day noble house management, and the other 50% was HP Lovecraft by way of David Cronenburg.
2. A guard and from an upper class district, who got "promoted" to running a tiny guardpost in the middle of the poorest and most dangerous part of the city, after stopping a noble scion from beating a servant to death. As a person, he was a soft-spoken and generally agreeable intellectual, the kind of guy who could discuss philosophy, history, and art over a glass of wine. When going into combat, he put on a set of salvaged magitech power armor, and became stick-fighting Batman. Character joined in the middle of the campaign, and the first combat consisted of him walking into a room with eight enemies, and disabling all of them without taking a scratch.
Build was super cool too, Investigator/Warder using EG and IT with a Tower Shield, mobile bulwark style, and all the feats for Shields/Armor to Touch AC. Despite having a Dex of 10, the character was fucking bulletproof.
3. The third was an Asmodean Infiltraitor Inquisitor in Wrath of the Righteous. The guy was Sarkorian, had fought in the first and second crusades. He became disillusioned with the Mendevian government's incompetence, and sought out some people who may actually have a shot at closing the World Wound.
The character was super evil, but was pretending to be a LG member of the Inquisition. Great, great fun.