Of the party members, Mordin Solus. A conflicted character tied deep into the game's lore. His loyalty mission really gets you thinking. Some of the best lines in the game with superb voice acting.
Second place goes to Tali, of course. The lovable character from ME1 is preserved and evolved into a strong and capable individual who still retains her kind heart. Also, her romance plotline was just an overdose of cute.
Beyond that, I found ALL the party members to be interesting in their own way. My only complaint is that Garrus could have done with a dialogue section or two more. However, "I had reach, she had flexibility."...
Of the non player characters, the selection is quite good as well. EDI has some of the best one-liners in the game ("Really commander? Probing Uranus?", "I enjoy the sight of humans on their knees."). Aria is pure awesome ("Don't FUCK with Aria!"), Wrex is badarse as ever, Joker lives up to his name.
Characters are the strong point of ME2 and was the first game in a LONG time to come anywhere near Planescape: Torment (at least IMO).