Lightning by far. She just has the most devastating abilities that look the coolest. I can pull off a lot of crazy stunts while playing her. Her personality is pretty cool to boot too, and the fact that she always pulls off the most awe-inspiring cut scenes is a definite plus.

Fang would be my second, since well, she has made for a powerful combination as a commando with Lightning. This followed by Vanille as my favorite healer.

I never used Sazh or Snow past the choice marker. I just don't like the way Sazh moves on the battlefield, though I'm pretty sure he's the best straight synergist available. Though now in post game I'll probably mess around with them some sooner or later.

My battle setup configuration info:

(SPOILER)The setup I ran through the whole game past the 25 hour mark was Light/Fang/Vanille. Auto-hasted Light with random chain potential and super strength beefed up Fang meant some mean damage out put. I usually went into battle with Commando/syn/syn to debuff, then a quick switch to Diversity (staple) rav/com/med to get a quick heal off if needed then relentless onslaught all the way. I don't even think I used sentinal until a few bosses right at the very end who just decide that you're going to be dead if you don't have a damage sponge. By the time I was forced into replacing Vanille with Hope to stack some buffs (Last boss forced my hand), that stagger meter was really quick to get up and almost an instant 999.99%, meaning aggression (com/com/rav) caused some massive damage output.

Though from what I hear from other people playing the game, my setup being dependent on debuffing/stagger building is an oddity among preferences.