What's your favorite part of the game? It could be a particular scene or a general area within the game.
My favorite part has always been Sabin's scenario. I love the Doma castle scene, the ghost train, meeting Gau on the Veldt and going through the serpent trench. That's where Sabin, Cyan and Gau show their best character (Shadow's involvement was cool too). What a diverse group of people, yet they fit together perfectly.
Unfortunately they don't interact with each other much after the scenario is over. It would have been cool if there was another part of the game where you had to take Cyan, Sabin, Gau and Shadow on a quest (or better yet, have someone like Terra along instead of Shadow to introduce another character to the funny antics of the trio). Once all characters become optional, interaction between them becomes non-existantThat's one thing I don't like about FFVI and FFs in general. It always seems like in the second half of an FF game, the fun is over.
But, the character interaction was great while it lasted.