Hodor
I'm sure it's been talked about a lot, but I'm doing a re-watch of the series and Hodor's story still makes me absolutely bawl when it comes to an end. They make you love him so much, even though he only says "Hodor" and he has such a tragic ending. I admit I have an affinity for characters that were locked into their fate (i.e. Nell from Haunting of Hill House).