It's hard to just pick one, I mean I like Balthier, Squall, Setzer, Galuf, Sazh, Fang, Vivi, Lulu, Auron... but number one (and here comes no surprise).
Vincent Valentine.
I know he gets called emo a lot, but there was a time in my life where I related to the character a lot, I went through a pretty bad break up and everything else in my life at the time was just falling apart. To cut a long story short, I may have not slept in a coffin, but I was dead to the world around me for quite a number of years. Besides all that, I just like the quiet brooding characters, I like his design, and I honestly think his shape shifting limit breaks are cool even if they can screw you over in boss fights (Materia Keeper D:<). Also I think I'm the only person on the planet that enjoyed Dirge of Cerberus.
So yeah, Vincent for me.