Numerous characters are favorites.
I liked General Leo. His ability kicks ass. Man I would have loved to have him as a main character. Ah well...
I always used Locke, he was my man with the Genji Glove, Offering, Illumina, and Atma Weapon.
I just found Mog funny.
Gogo is just plain good. Give him/her Magic and any two other good skills (I often used Blitz and whatever else I'm in the mood for) and he/she is just too good.