In terms of "cool", my answer is the infamous Spike Spiegel. I mean, that's kind of a given, right? :P
Otherwise, I'd have to go with Yuzuru from Angel Beats. Yeah, I know it is such a recent series and nothing ground-breaking and all, but I found that he was a very refreshing main character...Mostly because of the tropes in so many other anime [similar to Angel Beats] that I see. He isn't a pervert. He "grows" throughout the storyline, rather than just meeting a girl and being inspired by her saying "Let's all do our best!". The most striking instance that put him on my favorite character list, however, was his sacrifice in that particularly jarring episode where.... Yes, I am being purposely vague to avoid spoiling.
Back on track, however...
I found that he was a -in my opinion- truly good person. I always hear main characters being described as kind and "pure-hearted", when I sometimes fail to see that. Needless to say, I found Yuzuru's goodness refreshing. Again, not just the usual cliche "ganbatte".
He was really...human...to me. I thought that was pretty interesting, since I don't usually see that. Especially in anime similar to Angel Beats.
"If you tremble with indignation at every injustice, then you are a comrade of mine"
When the union's inspiration through the workers' blood shall run
There can be no power greater anywhere beneath the sun
Yet what force on earth is weaker than the feeble strength of one
For the Union makes us strong
Has nobody mentioned Akagi Shigeru yet? He needs at least one mention, even if Spike, Guts etc. do turn out to be cooler than him. While other may be awesome using a sword or a gun, he manages to be awesome by playing mahjong. Surely that has to count for something.
Lots of replies and I have to say I forgot about a lot of these characters lol...
My top 5 would probably be:
1.)Spike(as everyone else)
2.)Ousawa Akatsuki(MC from the new anime Hagure Yuusha No Estetica)
3.Kazuma (Kaze no Stigma)
4.)Gintoki(Gintama, My avatar is a chibi of him)