Sazh followed by Lightning followed by Hope then Vanille then Fang then Snow. That's the order of the playable characters that I liked.

Sazh had a small role at first but once he reveals what happened to his snow I just felt so much closer to him because he became more then an old man, he was a loving father fighting to get his son back to normal, also Chapter 4 or 5 whichever one it is that has him getting his eidolen, yeah that was sad as hell for me.

Lightning annoyed me at first because of how cruel and mean she was but she actually grew out of that with Hope in her party and she learned that she can make mistakes and learn from them.

Hope...Well look at Coffman's OP for good reasons.

Vanille because she was so kooky at first that it drove me insane but then you learn her backstory and she grows more emotions besides trying to put on a brave front for the others.

Fang...Well I liked her in my party but that was really about it.

Snow...I hated him, with a passion. Trying to be the hero and brushing off everything else. Trying to justify his actions as "saving Serah" and what not and it took him a while to apologize to Hope for what happened to Nora.