Boldly Gone is an in-game achievement in Run 3. Since the requirement of the achievement is to beat Level 65 (and of course, the Main Tunnel), there is no preferred character for this achievement. You simply select the one you like.
You need to earn the achievement by completing Level 65, the last level of the Main Tunnel. Although this is not an extremely hard achievement like Figure Skater and Unlimited Endurance, it is definitely one of the most hard-earned achievement, since you need to have at least some skills and patience to beat all 65 levels of them.
This has no strategy, you simply need to beat all of the whole Main Tunnel, and you will then be rewarded the achievement.
- "Boldly Gone" is a reference to the phrase "to boldly go where no man has gone before."