Let's see. My Urien Rakarth and Sanguinor have never fallen but they are used rarely. Imotekh survived his first(only so far) game because special rules kept him in reserve until turn four. He came on with a squad of Warriors and took control of an objective to win the game. I had never lost Dante until about a month ago when a Void Mine was dropped on his head. But my personal favorite is my Assault Squad Sergeant. He survived two rounds of combat alone against 20 Orks before falling. But I say he survived and that's why I now have an Assault geared Captain. I also had a lone Tactical Marine(squad blown apart by Leman Russ) survive a shot from a Chem Cannon(AP 3 flamer template) and then destroy the tank it was attached to the next turn. He became my no upgrade sergeant model.
"Fetch me another plaything. This one seems to have broken." -Urien Rakarth
Space Marine- "This planet is ours, witch."
Eldar- "No ... This planet is theirs ..."