It almost feels to obvious or something, but Ico really captured it's protagonists scrabbly adolescence. He just seemed to really throw himself at whatever he was doing, even if he didn't quite know how to do it. Yorda's wondering, tentative, "I'm in shock" demeanor came through great as well.

I second the Lifeline callout, even if that isn't exactly kosher.

Also, I'd say the Mark of Kri. They somehow really pulled off a stealthy lumbering barbarian. From the killing blows to normal combat moves to simple stuff like vaulting over an obstacle or shimmying, all of Rau's moves were so sure and brutal. It always felt like he knew what he was doing, even if the player didn't.