I like the fact that there are quite a couple of John McClane suggestions. Though one can throw in Rambo at the same time. Liam Nesson's performance in Taken is also a character that survives against all odds.
However, my pick will have to be Jason Bourne from the Bourne series. The odds that he faced...
In PC games I like the new Tomb Raider with Lara's character displaying a lot grit to go through the ordeals and yet she maintains her humanity.