Good question. Jaime? Theon?
I might say Sansa, if you define "complex" as someone who evolved over time.
I didn't watch GOT until part-way through Season 5 (only started because I was tired of conversation ceasing when I walked into the break room, bless their hearts.) So I binge-watched to catch up, and at one point I complained to a co-worker that Sansa was the most annoying and tiresome character ever, and that I hoped that she'd be written off.
She just chuckled and said, "Hang in there." And she was right. She completely changed over time from a passive, female tool of her social group to a dangerous, out-there independent agent.
I still don't like her, and if she were a real person in my social circle, I would go to great lengths to avoid her, but she is only one of the two characters I can think of who did a 180 over the seasons.
The other is Theon. Ignoring the improvised surgery, his character changed from someone who reacted to his situations in a pretty whiny-ass way to someone who acted on what he felt was right. Very inspirational character to follow, if only for the "there's always a chance for redemption, no matter how badly you stupided things up."
I was also fascinated by Arya, however unlikely her path was. At one point, I thought she would become a sociopathic killer, taking out whomever irritated her, but the Season 7 episode when Sansa turned Littlefinger's accusations against him, and Arya executed him, showed her as more nuanced (not just that scene, but the entire episode.)