Ooo, controversy. Not as popular as the more mindlessly-obvious Link/Zelda match up. However, apart from the odd kiss every 20 years or so, there's not a lot of interesting dynamic between Link and Zelda beyond the whole 'princess rescue' thing.
Midna holds a place as one of my favourite character designs so that's probably making me biased but the thing about that is; I don't care. She's a female character with a hell of a personality. Purposefully goading and incurably sarcastic, she manages to be Link's rescuer, power and guide with an abrasive personality and deeply irritating lines. The thing is though - she never annoyed me, which in itself deserves some sort of medal.
A lot of that is probably to do with how she looks for most of the game. We're introduced to this impy creature, small enough to ride around on wolf-Link's back, clearly female but it managed not to matter. So when she delivers a cutting line, it's not come from a perfect mouth somewhere behind a pair of over-inflated melons and batting eyelashes - it's from a creature grinning at you with a fang sticking out and half her face covered by a crazy mask. That appeals to me a whole lot, and goes some way to explaining why I think the Undead in World of Warcraft are far more beautiful than Blood Elves will ever be.
Oh, honourary mention for Guybrush Threepwood and Elaine Marley of the Monkey Island series. A capable and witty love-interest in a game? *gasp*