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For me, Celes Chere is one of my favorite all around characters. Kuja is too, even though most ignore him. He;s intelligent, quite powerful even though he does look like a woman.....and a scheming evil man. xD
Another one would be Kefka. He just bloody evil, and cool while doing it.
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I would agree with Celes actually, she's certainly one of the more deep FF heroines. And Kefka. Though I dislike Kuja, not because he looks like a woman (I actually thought he looked okay, till I heard all the slander and realised he actually does...), but because he is very similar to Sephiroth.
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Josef...? From FF2? I haven't heard that name in so long! ^_^
My favorite hero is definitely Zidane. And YES, I agree that he's underrated. He's one of the few leads in any game I've played where he's genuinely a nice guy. I like nice guys. ;) But Zidane is also a hero that I could always believe followed his convictions, no matter what was going on around him. He's the one character I believe would do something because HE believes in his own heart. He's the one I'd trust. If I were in a team with any of them, I wouldn't have trusted anyone as much as Zidane. Cloud, I'd be worried he'd ditch the team. Squall, I'd be annoyed at his coldness. Tidus is just... well, not much of a leader.
Zidane was a leader. People see that as cocky, but when you look at it, he was an influence on everyone he met in the game. He discovers more about himself, has his moments of personal growth... but he also uses the qualities he already has to give to other people, like Dagger.
I guess that's why I always liked him the best. :) He da man!