Oh I love Illidan, he was the sole reason why I could play the Night elves in WC3. He was a fantastic character who had his strengths and his weaknesses.
Since I am thinking about WC3...
Sylvanas Windrunner. I did NOT like her in WC3, her personality was...annoying. Its been a while (like 5+ years) since I played WC3 (which I should change) I just thought of her as a snooty rich person that didn't quite deserve her role in the Night Elf military.
But when Arthas killed her and raised her from the dead and put her through a lot for anyone and she learned all about the dark side of life and she grew up because of it. She has no illusions of what life is and pulls no punches. She is one of those characters that I grew to love in WoW, I guess thats why I don't want her to die.
Edit: If this helps, Sarah Kerrigan has always been one of my favorite SC characters