Sorry if this was covered before but a friend and I had this situation come up the other day. I play coldbands my opponent has one character I have none what happens. I thought that I can choose his character and not choose any of mine because I don't have any.

Well, you have Coldhands, so you do have a character to choose. More to the point, you HAVE to choose him since he's the only character you control. That means all the characters you choose (including Coldhands) are removed from the game - and returned immediately. The only practical change in the game state is that all the chosen characters lose their attachments and power.

What you are thinking of is that the "if able" on Coldhands' text allows you to trigger the ability even if a player does not have a character to choose. However, the person playing Coldhands will ALWAYS have a character to choose because they will have Coldhands himself.

Could also be a useful way of removing dupes from a character

Not sure what happens if the plot Assault on Kings Landing is active - Characters and locations cannot be saved.

If you discard a duplicate to stop a character being discarded or removed from play, is that the same as saving or does save only refer to preventing being killed?

The dupe is always a save response. So Assault on kingslanding makes everyone not protected by other means from the chosen removal effect is a very sad panda.