I would go for Lancelot, the knight from King Arthur's court. Being infected with the legend of Artus from my early childhood (once in my life I have to say THANK YOU to Disney for this....The Sword in the Stone was my first contact to the story and I still love the film and have the book where I found the story first) I soon had my favorite knight: the best friend of Arthur, one of his best knights, with mythical background and a sad love for Arthur's wife.
Artus and the legends about him were the reason why I decided to study English and German.Today I know that Arthur was a real person, the story which the legend is based on was first written by Geoffrey Monmouth...
Another mythical character I love is Loki from the Norse Mythology. The mixture of God and scoundrel, intelligent and sharp....hilarious.