Phew, this is tough, I really do like how all the character's are developed. But anyway, here goes.
Tibarn
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Why: What a fantastic leading personality. The cutscene where he leads his army is very touching. I love his way of expression, he's just got a fantastic personality.
Micaiah
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Why: At first I was not really keen, but then her relationship with Sothe struck me. WOW. WOW, WOW. That is one intense loving relationship there. Just wow. I was stunned when I had them converse in Part 1: Chapter 4.
Pelleas
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Why: Poor, poor Pelleas. I like the way they developed him. He's a very interesting character for me.
Bastian
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Why: Because of his intellect that rivals Soren (hiring the GM to save Lucia, finding Renning), and I love his way of speech. Hilarious! I love how he expresses his feelings in such ridiculous ways to everyone.
Haar
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Why: Persona plays it's part and I like how Haar, despite the sleepy, laid-back guy he is, has such a greater character depth in him.
Mia
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Why: A journey to find her one true rival in white robes. A boisterous, ego personality and determination. What a great, lightening, energetic and wonderful character. And speaking of rival in 'white robes', that leads me to my favourite in the whole game.
(drum roll)
Favourite: Lucia
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Why: Because of her developed, deep relationship with Elincia. It's one of the most developed and greatest relationships in the game next to Micaiah and Sothe. You'd also think she had a hell of a lot more damage dealt to her than just a hair cut under Ludveck's hand. Clearly she suffers from extreme emotional problems because of it. What REALLY happened when she was captured? Not to mention her personality is damn right awesome. I love her! :D