House Lannister.
Tyrion Lannister is my favorite character in the Game of Thrones. Started reading GoT last Christmas and I'm hooked, bought A Clash of Kings this year despite having a good 350 pages left for the first one.
The only game that I can remember that uses pre-made characters is Jade Empire and (I think) Lord of the Rings: The Third Age, I'm neutral to that pre-made character shebang, as long as the the story is engaging then I won't mind at all.
I love RPG's, preferably in a fantasy-oriented world like that of the Elder Scrolls since it gives you the chance to create your own background on how you went to jail, I always found it appealing that I can make something from scratch and make something great from it.