Kain is my absolutely favourite, as if that wasn't obvious enough.

Others are:

Rydia (FFIV)
Cecil (FFIV)
Golbez (FFIV)
Faris (FFV)
Terra (FFVI)
Locke (FFVI)
Edgar (FFVI)
Celes (FFVI)
Cid (FFVII)
Yuffie (FFVII)
Quistic (FFVIII)
Freya (FFIX)
Vivi (FFIX)
Beatrix (FFIX)
Agrias (FFT)