I don't think I've had a favourite character upon starting the game, but there were a few that I eventually warmed up to. Mine are a bit of dark horse choices, though.
Maribelle -Maribelle is one of those characters who I initially didn't find particularly interesting but who I eventually warmed up to over time. Even though she's one of those haughty egotistical characters I'm not a huge fan of normally, the key difference that separates her from the rest is that she's actually quite nice to people who she warms up to and has a lot more depth to her character explored in her supports as to why she is the way she is. Spoiled sweet, per se.
Virion -While I see a lot of people hating a lot of characters, I very rarely see hate for Virion character-wise. (Unit-wise, I understand.) I usually don't enjoy characters like Virion who seem to act like a bigheaded braggart, but the fact that he more often comes across as a bumbling buffoon makes him impossible for me to hate. It helps that unlike most examples of the trope, he can actually back his statements up, (i.e. in his games with the Avatar) has his character deconstructed in his supports, and I found pretty much all of his supports either consistently funny or sweet.
Um, doesn't a dark horse mean it's somewhat controversial? Everyone knows Maribelle and Virion own outside of battle.
http://youtu.be/n5Drq_YW0Gs http://youtu.be/dK-Z0Ts-jVc Mega Man rocks.