Anne Shirley, as she reminded me of me when I was a little girl (I first read the books when I was a bit older and a bit more jaded.) Her friend Leslie also haunted me, there's a bit where reading between the lines you get a sense of how awful things were for her.
Princess Amy from The Ordinary Princess. She was cool.
Sara Crewe from A Little Princess, I ended up copying her, by staying quiet if people were yelling at me. I think that annoys them more sometimes.
Laura Ingalls in the Little House books, I know she was a real person, but I always got the impression she was a bit before her time and was constrained by the time and place she lived in.
Mildred Hubble, I read The Worst Witch for the first time aged nine, which started my love affair with all things witchy.
Severus Snape, I always felt so sorry for him, especially after reading The Order Of The Phoenix. I could totally see where he was coming from most of the time. And he was always right about stuff, even if it took his death for the Golden Trio to figure it out. (Yes I cried, especially as I know it was a handy plot device, meanwhile that bastard Lucius Malfoy got away with it, again!) I know he's written as the tragic gothic antihero, but I've been in love with him since I first started reading the books at 13. The snarky bastardry was just a bonus.
Am I allowed to say one of my own characters? Because my character Amy has been haunting me for 14 years. My own fault for making her life so tragic, although she is getting a happy ending. She keeps telling me I need to finish her story!