I like the sprite/animation/pluckiness of Pac Man from Pac Land (his damn hat and feather = awesome...I'm pretty sure it was inspired by the Swisslers and their Alps). Plus, his floaty controls are awesome (for real).
The princess from Wonderboy III: Monster Lair (player 2 in co-op) was the reason to play co-op.
I wanted Princess Za from Le Bonk to be a playable character, but alas, she never was. But she should have been. Of course, I have never figured out exactly how she would be animated (she shouldn't be limited in her skills/flexibility).
FINAL ANSWER: I want Yuko/Char/Verna (triumvirate from VALIS III) in all other platformers. Do you realize how much better Dracula X would be? Yes, it would be.