In terms of story, my favourites are Celes, Kefka and Leo. I thought Celes was a really interesting character as you watch how she attempts to deal with her change in allegiance and her blossoming romance with Locke is rather cute too. Kefka is brilliant each and every time he is on the screen. Leo was someone who I wished had been more involved as I felt he gave a humane and decent face to the Empire and I would like to have seen more of his conflict with his beliefs and the machinations of Kefka and Gestahl.
In terms of battle, I actually quite using Gogo and Edgar.