Persona 4
The characters are all wonderful, and relatively enjoyable. While there are some that get on my nerves (Yukiko), they all tend to be fun to watch in general. However they do not 'develop' very well.
In Persona 3, characters join your team as a great big bundle of personal issues. Daddy issues, inferiority complex, revenge obsession, etc. Importantly, they cause plenty of problems through the games themselves. Certain teammates are very obviously merely 'tolerating' other certain teammates through the game. Characters are put into direct conflict with one another; and often times risk or cause severe consequences for letting these issues get the better of them.
Seeing them work through these over the course of the game is very satisfying, and you get to feel the changes in their personality by the end.
Persona 4's characters, while very good characters regardless, act roughly exactly the same from the point that they join your team on-wards. In some cases, even before then (Looking at you Chie and Yosuke.) This is because dealing with their problems is a prerequisite to joining your team, and we see very little of most characters before they are thrown into the TV (Really only Naoto gets much screen time prior). Whatever lingers from their problems is dealt with in Social Links, which are optional.
The Social Links are, without a doubt, very well done, and touching. However it is somewhat undermined by them having no impact on the story. The characters' previous issues only ever come up in gags. They never come in conflict with eachother, or suffer any adverse effects from their previous demeanor. Whether you max their Social Link or ignore them, they always act exactly the same.
