If it’s a physical violence threat situation, probably Jack Reacher or Travis McGee (though of course they are smart too).
If it’s more of a physics threat, McAndrew (from the Charles Sheffield books), or Bruno de Tawagi from “collapsium” would be good: both the best combination of theorist & experimenter since Newton…in their universe.
Lord Peter Wimsey.
What are the parameters- just any fiction character whatsoever?
In that case probably someone who can do magic, like a Dr. Strange, who could literally hand-wave away pretty much any existential threat.
Bugs Bunny, no matter the situation. He knows how to deal with shit, and he’s entertaining about it as well.
Spenser and Hawk!
Of course they have a huge arsenal of associates – from both sides of the law that might be willing to jump in and government information from local Boston stuff up international affairs through those in three lettered agencies of the U.S. government.
On television the gang from (the original show- but with all of the newer recruits too) NCIS seems like a competent bunch.
Also wondering on what limits you are setting up. Because the first thing that came to mind is the Shrike, but then I realized that the Beyonder would be an even more useful ally.
Good point, I was really thinking of fictional characters; should have been clearer.
Of course, we could extend it to real persons, but that would probably be a different discussion!
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That is the answer.
I assumed fictional characters from your OP; I was more wondering, any fictional characters, or are there some guidelines? Your examples operate more or less in the real world (well, at least the first two; I don’t know anything about McAndrews or Bruno),
But someone with wholly fictional superpowers having your back, like the aforementioned Dr. Strange, or let’s say Superman himself, are a whole different ballgame.
I’m going to have to go along with Bugs Bunny.
Father Brown. Or else the young Endeavour Morse (but not the cranky old fart).
For physical prowess and tactical expertise I’d have to go with Reacher. Even if we were up against the Russian army, a couple fast head-butts and a few improvised Molotov cocktails should win the day.
Thread winner.
What if you’re in an opera?
Before Reacher was (and I am huge fan!) Spenser is.
(?? exists, certainly not am, but most of you get the reference)
They are both extremely persevering and obstinate characters with military training, but Spenser is the prototype. The difference is that he has had a lifetime of additional experiences and is no longer the loner drifting from tussle to tussle. He has a whole quiver full of capable – associates and even his rivals respect and admire him. He also has a beautiful brunette who acts as his conscious and keeps him from being a monster. Reacher makes allies, but Spenser HAS allies. If you team them up you would almost have The Avengers and/or The League of Justice.
In Victorian London however, one could not do better than having Sherlock Holmes (especially when teamed with his brother Mycroft) looking out for you.
But if you get into a scrape at any time in American history and are being bullied, particularly if you want your tormentor to end up face down in manure, Marty McFly seems to be the go to guy. That guy can evade capture like nobody’s business. (Of course, his guitar playing is much too loud!)
Finally, I must defer to Dirtball, in the animated world Bugs Bunny does rule.
I think however that I would prefer to roll with Spike Spiegel and his crew.
(And that reminds me there are some “Big Damn Heroes” that have been in a thorny situation or two whose help I would not turn down if offered.)
To keep it realistic, and if he really is on my side, I’ll take the Terminator.
Neo.
And the Lincoln Lawyer.
Well, I reckon in an opera, I don’t expect a happy ending. 
MacGyver is a verb. 
John Sandford’s Lucas Davenport. Skilled, tough, ruthless and ever so slightly willing to bend some rules when the situation calls for it.