This is actually quite tricky, because Shakespeare's most interesting characters are more likely to be villains than heroes, and if heroes they tend not to be all that admirable. I've written already about Hamlet and Macbeth, nether of whom really fits the bill - Hamlet is fascinating, but one struggles to like him, and Macbeth is certainly on the villain side of the line. I guess in the end the most interesting hero, as such, on the most interesting plot journey in Shakespeare is Prince Hal in Henry IV Part I and Henry IV Part II and then in his own play, Henry V. But I'm not sure that this is really the right question in the first place.
Now, having said that, Tom Hiddleston's performance in the role in the BBC's Hollow Crown series a few years back has inspired some pretty good fanvids. Here for instance is "London Calling" by the Clash, illuminating Henry IV Part I:
Click to view
And here's the story of the three plays, to "Feeling Good" by Muse:
Click to view
As a side note, I'm really enjoying finding videos to post as part of this series. I hope you're enjoying watching them.
The 30 days:
Day #1: Your favourite play
Day #2: Your favourite character
Day #3: Your favourite hero
Day #4: Your favourite heroine
Day #5: Your favourite villain
Day #6: Your favourite villainess
Day #7: Your favourite clown
Day #8: Your favourite comedy
Day #9: Your favourite tragedy
Day #10: Your favourite history
Day #11: Your least favourite play
Day #12: Your favourite scene
Day #13: Your favourite romantic scene
Day #14: Your favourite fight scene
Day #15: The first play you read
Day #16: Your first play you saw
Day #17: Your favourite speech
Day #18: Your favourite dialogue
Day #19: Your favourite movie version of a play
Day #20: Your favourite movie adaptation of a play
Day #21: An overrated play
Day #22: An underrated play
Day #23: A role you've never played but would love to play
Day #24: An actor or actress you would love to see in a particular role
Day #25: Sooner or later, everyone has to choose: Hal or Falstaff?
Day #26: Your favourite couple
Day #27: Your favourite couplet
Day #28: Your favourite joke
Day #29: Your favourite sonnet
Day #30: Your favourite single line