Here are some contenders:
* The "Marvel" character: The first character to appear in a comic book published under the "Marvel" name (initially known as Timely Comics) was the Human Torch, who debuted in Marvel Comics #1 (October 1939). However, this Human Torch was a different character from the more well-known one who became a member of the Fantastic Four.
* The "Marvel" character (using the Marvel continuity): If we consider characters that are still part of the current Marvel Universe, then the first would be Namor the Sub-Mariner, who debuted in Motion Picture Funnies Weekly #1 (April 1939), published by Marvel Comics' predecessor, Timely Comics.
* The "Marvel" character (based on first appearance): Technically, the first Marvel character to appear in any publication was Captain America, who debuted in Captain America Comics #1 (March 1941), however, it's important to note that "Marvel" was not in use as the company name at this time.
So, depending on the definition of "Marvel" and "character", the answer could be the Human Torch, Namor the Sub-Mariner, or Captain America.