My favorite character is a tough one.
I like:
1. Haar: Uberstrong and cool. And he can fly. And looks like a pirate. Need I say more?
2. Rolf: Needs some kindness in the beginning, but give him the Silencer and he rocks. Plus he's cute AND badass.
3. Ike: Where is the Aether Skill??? (I'm not at the end yet) Besides that, he's a frigging killing machine.
4. Soren. Just Badass. Slow stat growth though.
I think DarkRequiem is right, I just haven't found it out yet. What I read about it was not very clear, because apparently it is about major spoilers.