Personally, my favourite Turtles media are the current run of the comics and the 2012-present TV series.
I like the first movie, but one of the biggest problems I have with it is that it doesn't seem to develop the character of anyone aside from Raph. They don't go much deeper with the other three than Leo is the leader, Donnie's the smart one and Mikey's the jokester/party guy.
Take the way they characterized the turtles in the 2012 series:
Leo is still the leader, and takes his training the most serious out of the four, but isn't confident that he has what it takes to lead
Raph is still the hot head, and physically the strongest, but has his own pet snapping turtle named Spike that he can open up to (until half-way through the second season)
Donnie is still the smartest, but this time around he has fallen in love with April, which leads to tension between him and Casey
Mikey is still the party guy and like naming each new enemy they come across, but he also has the most talent, if only he would put his skills to use.