Just to get it out of the way: you can't follow *all* companion quests in one playthrough.
I wouldn't give away this kind of information since it's too much of a spoiler in my book, but since you asked it, I might as well answer: Yes, there will be a point of no return after which those you left behind will stay behind for good (and it's pretty soon too). You can swap companions in and out as much as you want now that you still can, it won't change the fact that you will only be able to complete the stories of those you choose to travel with officially.
As for whose stories are more interesting, I could tell you my opinion, but it won't necessarily mean you would feel the same way. Afaik, there is indeed some consensus about whose stories are the most dramatic/interesting, but personally, I don't really know cause I've only played through the game once myself. I was Sebille, went with Lohse, Fane, and the Red Prince, and I found all their stories really engaging.
So, I'd suggest you go with your guts. Make your choices, and face what comes.
