Terra he's got the power to fight for what he believes, aqua too because damn the first to show her mettle, rarely do we see the other girls fight in the series. Riku too because of his great key and fighting style, plus he's chill. And the organization except for larxene she big oll bitch! Anyone think terra and aqua are more than friends, well that's what I think.
I've only played Kingdom Hearts and Kingdom Hearts II (the latter being the greatest PS2 game of all time, in my opinion) and I'd say my favorite character is Roxas.
Physically, he looks pretty cool, he is somewhat properly dressed (unlike Sora in his gigantic shoes) and he, at times, fights with the Oblivion Oath Keeper combo which is quite awesome.
From a mental standpoint, I love that he is an introspective character, always questioning himself about his existence and trying to break away from it. The idea of the four friends living in Twilight Town and hanging around at The Usual Spot is simply beautiful.
It'd have to be Axel, dat dual wielding. Ventus is actually ok as well and I still have to complete Aqua's and Terra's route. Namine is also a favourite of mine.