Off the top of my head, I would say Cloud from FFVII. I would have to restrict that to the original game though because he becomes an emo out of the blue in Advent Children.

Yuri from Shadowhearts, over the course of the two games he's in, his character goes from being kind of a crude, selfish jerk to being a hero, but without going all goody-two-shoes about it.

Commander Sheperd Mass Effect Trilogy for sure.

commander Shepard is cool, but still my favorite character development is Kreia from KOTOR 2

Kirby!

Just joking!

How about Terra from FF6?

The one I recall right now is Midna from Zelda: Twilight Princess. She starts as kind-of jerk imp that uses Link for her own porpuses and doesn't care the state that Hyrule is in. But after she had a near death experience that I won't spoil for those who hadn't played the game, she not only sees the bad things that are happening, but also opens up more to Link and other people, and when we discover her true purpose in Hyrule and what she was before, we not only start to like her, but she gets more responsible. 

Closest would be Solid Snake, but honestly it's not something I've paid much attention to in games, and I don't know if I'm only saying that cause he simply had more scenes of dialogue than most characters in games I've played. Honestly, I think I might even say it's tied  between him and Sly Cooper for me. 

I think this is a bit difficult to answer because I'm so much more of an action/adventure etc. guy than an RPG guy. 

I would like to say Magus from Chrono Trigger.  

I would like to say any of the "main" supporting characters from Persona 4.

Zidane from FF9

Master Cheif John 117. I know that's hard to believe given his a faceless space marine but seeing all that happens in the halo series so far gives him a character I thought could never be done with a faceless player character.

What? stop looking at me like that!