Hmmm.... this is a hard one. Or rather, two choices are easy, but I'm having trouble with the third. I'm going for one of each class to keep it a little interesting, which leaves me with...
Rogue: Ryougi Shiki (Kara no Kyoukai) - Nothing like a guaranteed 1 shot kill. On anything. Including abstract concepts.
Mage: Takamachi Nanoha (MGLN) - The White Devil. 'Nuff said.
Warrior is the tough one. Kenshiro is always a tempting choice. I suppose I could pick a mecha pilot, as most of the good ones are unquestionably warriors, but brining a giant robot along seems cheating. Broskander (ZeroRider) is awesome. The first or third JoJo's would work (Joseph is blatantly a rogue). Half the cast of Sengoku BASARA maybe? Masane from Witchblade (who is a far more interesting and well developed character than the fanservice would suggest...)? Darn...this ain't an easy choice....ah hell, I've gone with:
Warrior: Ran (Tsukikage-ran) - Skill, beauty and a taste for good booze. What more could you want from a companion?