Psycho Mantis from MGS, definitely. It was fun because the 4th wall was not just broken, but pulverized. Reading the memory card, making the Dual Shock move across the floor, plugging the controller into a different port, the flashes of Hideo instead of Video. Not to mention, the actual fight was pretty nifty since you had to beat up Meryl to prevent her from shooting you or herself.

If we're talking enemies with no personality, I kinda liked Quick Man from Mega Man 2. He had a real cool design, he was one of the tougher bosses (probably because he was immune to Metal, the most overpowered weapon in the series, ever) and his stage was tough too.