I would say I love them all but I am not such a fan of Oghren and Sten but that may be my RPG prejudice against Troll/Dwarf/Orc-etcpp characters. I love the interacting between all the others too much to really be able to settle for one of them. Alistair's struggle with potential power and not wanting it but seeing the responsibilities someone has to take, Wynne's readiness to help others and put personal sacrifice in favor of others always first, Morrigan being not really evil but more of what Crowley would call a "real" Satanist ("do what thou wilt..."), Leliana's change of heart regarding the Maker and purpose in life, the opportunism of Zevran....
Man i just love this game, still I didn't cry in a Bioware game until Mass Effect 3.