I only bother for completion's sake and even then it seems easier to powerlevel the others in one go rather than swapping everyone back and forth and messing with their materia setups over and over.

If you're just playing the main game, you can pick whoever you enjoy the dialogue of and complete it no problem.

If you're wanting to beat the Emerald and Ruby Weapons then obviously you have to level up the people who are important for each but I seem to recall it's still mostly the materia setup that's important.