I think my favourite historical characters would be Herodotus and Xenophon.
Herodotus because every time I have read The Histories I can imagine myself sat in the agora listening to the man telling us all of the strange people over the seas, of the one eyed aspasians and the lands in the north where the sky is full of bees!!
Xenophon because of the march of the 10,000. His history of the greek mercenaries who fought for Cyrus against the Persians, who managed to keep themselves together and get home after Cyrus was killed in battle and their generals were murdered. The fact that they fought their way back through hundreds of miles of enemy territory when by all rights they should have ended up slaughtered or slaves impresses me greatly.
Xenophon also because of some of his other writings, namely the Art of Horsemanship, and the Art of Cavalry Command, both well worth a read if you are into horse riding. I believe the Art of Cavalry Command is still used by the British mounted police as a handbook for tactics.(feel free to correct me if I am wrong )