Hmmm...I'm not sure I remember everyone's stories vividly enough to really have a good opinion. But off the top of my head, I think Cyan, Tidus, and Zack had the saddest stories...though I was most emotionally affected by the stories of Celes, Aeris, and...Tidus again.

As an aside, I think the Square has completely put an end to the Cloud/Aeris and Cloud/Tifa shipping debate. I used to think it was pretty even (when I had just played VII), but after watching Tetsuya Nomura call Tifa Cloud's "light" in Kingdom Hearts II (which I don't really agree with, though I prefer Cloud/Tifa), and after seeing all the emphasis that Zack/Aeris gets in Crisis Core...eh. But then, that's just my opinion. Which is off-topic here.