Probably Ezio in Assassin's Creed 2. You can go anywhere you want, never need food or sleep, steal and kill anyone you want, and live with the knowledge that 1. Every guard you pass is less than a second from death, and 2. You never die, you just de-synch and pop back up a few seconds later.
And you have some assassin's to back you up. But Ezio by himself could probably take on a whole army. With his dodging skills, climbing skills, speed, jumping skills, etc. He's like invincible. I'd be safe to know that I'm Ezio, any burglar comes in the house, BAM dead. And I could kill anybody without getting caught.
Assassins Creed 2! Am I then only MAN here or what? Does anyone eles think it would be cool too jump from a buiding, then kill 2 guards at once, or be leanardo's best friend?
OH! Nice question, I would have to pick Oblivion, or any game from the Elder Scrolls. The atmosphere is so cool and having the Mideval weapons combined with the fantasy or magic and sorcery is awesome! But, on 11/11/11, my answer changes to Skyrim. Couldn't live in a world with Oblivion's graphics knowing Skyrim's graphics were out there. :P
It would be Fable 2. Mainly because I can own a whole town and have my people pay over two-hundred percent for their houses. I can also be a lumberjack and that gives me a reason to play that Monthy Python song.