Sure they have depth. Pretty much any character who displays two conflicting traits during a story can be said to have depth. Now, whether or not those depths are interesting and extensive is another story, and pretty much every character in the game is -clearly- trope-born so the depths might not be particularly original, but they are there.
Personally, I liked Lightning. She had pretty much everything that makes the terse and caustic loner character cool without glorifying it by showing just how destructive it was to herself and to the people who cared about her. It struck me as a pretty realistic portrayal of a character that is way overdone in video games and I appreciated that.
*Rereads post. Can't find where I called him deep*
So now Cloud and Cloud's psychological issues are two different entities? You can play the semantics card all you want but that doesn't change what you said.
Deep psychological issues, as in he suffers from depression, delusions, amnesia, schizophrena and possibly dissociative identity disorder. This is in a whole different galaxy on calling Cloud, as a character, deep in a literary sense. Stop twisting my words
Although he is still much deeper than Lightening
"Hey bridesmaid, love the beard! Give's me something to hang onto!!"- Lord Flasheart