Preferably also movies where although the rogue/wanderer is much more skilled compared to the opposition there isn't a feeling that he's really "invincible" (like most popcorn flick main characters).
It's the subtle things like in this scene:
Things like ducking behind cover, running out of ammo, not taking EVERYBODY out, but at the same time knowing this guy is on a different level that make awesome characters. I know he was out in the open for awhile in this scene, but knowing that he was divinely protected makes this awesome as well. Supernaturally skilled yet vulnerable is cool also.