I don't know about you, but I was unable to take the evil path in Fallout 3 because of my sense of morality, which is rarely active with me in a video game. I thought that was quite an accomplishment. But yeah, most conventional games don't often have an overly sympathetic character. The Half-Life series is absolutely great, but Gordon Freeman as a person is really a nobody. And even some of the unconventional games, those that do have semi-developed player-protagonists, still don't make you sympathetic for them. Example: Zeno Clash.