Okay, my answer is probably going to sound really really weird. But I've been thinking and thinking about this question, and I keep coming back to the same answers.
It sort of ties in with William Holden, and why he is my favorite actor. A big part of it is because I relate very strongly to the types of characters he plays, and that is a naturally attractor. I ran through all of Dana Andrews' movie characters, and despite the fact that he's one of my favorite actors... I actually don't relate to any of his characters. Not one. But William Holden... now I can name half a dozen characters off the top of my head, without looking at his filmography, that I can relate to.
There's two, though, that I relate to more closely than any of the others. They're nearly a tie, but as one movie features a love story and the other doesn't, that lets Pike Bishop from The Wild Bunch edge out Capt. Roper from Escape from Fort Bravo.
I said it was going to sound like a really really weird answer, particularly for a girl to choose. But when I finally sat down and watched The Wild Bunch for the first time a couple years ago (I'd only seen pieces of it prior to that), the thing that I liked most about the movie was how much I related to the character of Pike.
From the little things: how he wears two holsters -- a shoulder one in addition to the one around his waist (and tucks away a third and fourth pistol before the end fight) and not that I even own a gun, mind you, but in childhood games involving squirt guns, etc., that's how I did things. The little private thank-you/farewell exit salute he gives the train engine for serving them well, so to speak; I'm always doing that with inanimate objects -- to the way he sits there thinking all the time, to the hat doff salute to Robert Ryan's character, to the things that make him smirk.
To the big things: to the things he believes in, to the grudge about the husband who shot him that he's carried every day after, to deciding to trust the wrong person and getting shot in the back for it, and most particularly: to the plans he makes. Logistically, the character plans and anticipates and safeguards his actions and men exactly the way I would. The first time I watched the film, I spent a lot of time thinking, for example, "you know, the Mexican troops are going to try to take those guns without paying for them, so if that was my gang, I'd rig it so... yep, he just did that." And then nodding to myself, pleased. I'm very much in synch with the character of Pike Bishop. Right down to the ending. He doesn't blame his former partner for coming after them ("he gave his word!"), and he also knows that Deke is probably the one man good enough to catch them eventually. And that, plus witnessing Angel's mistreatment... I'd do the same thing myself at that point. And there's that moment where he's taken out Mapache, and the gang could probably still walk out alive. The Mexican troops are so shocked, they're just sitting there, leaderless and lost. Pike has a choice. Walk out and go back to running from Deke in a world that had no place for him or his gang anymore, or go out, guns blazing, and take some of those troops that have been hunting Angel's people with them. Sort of a community service, if you ask me, as the only "good" people in this film seem to be the mountain villagers fighting to stay alive. I never did want to live forever. I'd make the exact same choice.
So, of all the film characters I've been rattling around in my brain, for better or worse, I keep coming back to Pike Bishop as the one I relate to most.
(Random aside... you think Joss Whedon likes this movie perhaps? There appears to be some Wild Bunch name homage in Buffy -- Angel, of course, and Lyle and Tector Gorch show up in a Buffy ep as well. Isn't the main guy in the Buffy movie named Pike? I think I'll start paying attention, see if there's any more Buffy/Wild Bunch name connections. Or I'll just google it and see if anyone else has noticed that too. Weird.)