Corwin, Prince of Amber, from the Roger Zelazny Chronicles of Amber. He's a tough guy but has doubts, he bluffs, he's both honorable and plays dirty, and he learns and develops across the series. He 's the hero but is not necessarily the good guy. The Hero's Journey is there in a form, and I love the way Zelazny wrote the character.

My second favorite is John Daker called Erekosë from Moorcock's Eternal Champion series. In fairness, I like most of the Champion characters, but the fact that Daker is Doomed to Remember always had a resonance for me.