I don't really think Sephiroth had all too many problems. In his eyes he was the heir to the planet and was destined to be a god. In fact, when Cloud confronts him and asks "What about my pain, my sadness, it’s just the same as yours!" Sephiroth responds with "What do I have to be sad about?..." (I don't remember the exact quote).

Cloud I will grant you was rather depressed for most of the game, I wouldn't say without due cause, but I wouldn't criticize you for labeling him as such. (Doesn't mean I agree).

As for the look at me factor, in every cutsceen where production of black mages are mentioned you have everyone turning to Vivi and going "Aw...poor Vivi...its ok". They bring quite a bit of attention to bear on Vivi's glum mood through most of the game.