Judith is DAMN fine. Rita's spells are AMAZING. Sheena's just great. Kratos? Why... He's cooler than the other side of the pillow.
Family guy aside, he is a lot more than just the wings. He can pull the whole mercenary thing off, he can also be like an angel, and his fighting style with magic and swords were awesome. His whole betrayal and awkward reunion with the party afterwards was great. PLUS he comes out with the whole "I am your father" thing. Plus he can cast Judgment.
Frankly, I only started thinking Yuri was badass and cool after he murders Ragou.
The whole "The law may have let you get away, but I certainly won't" made me like him a lot more. And the part where he got his ass kicked by the rest of the party for trying to go solo made me lol.
Highlight for spoilers.