I'd have to say that, althought I've played them all, i thought the characters from VII and beyond were better developed, probably because of memory constraints of the earlier games, you couldn't put as much story into it. That being said, I loved the characters of Rinoa and Quistis from VIII. Rinoa was so positive and caring that you had to feel strongly about her. Quistis I loved because I felt she was strong because she was really in love with Squall, but did not let that get in the way with what needed to be done.
Now if we could list our least favorite, I would have to say Fran from FFXII. If only for her voice acting. She sounded like Za Za Gabor with a mouthfull of dimes. I wanted to put a gasoline-doused rag in her mouth and tell her that she is barely clothed and wearing bunny ears, so shut up and get me a drink. And tell Hef I said "Hi."
As a second aside, my favorite non-character was Odin from FFVIII. How could you not love a summon that you could not summon, cost you no MP, but would just come in in the beginning of a battle and completely destroy all of your enemies for you. "There you go. Have a nice day." So cool.