Interestingly, only Astarion and Minthara have lot of fans in Internet.
Gail, Will, Laezel, even Shadow Heart (although she is cute and mysterious) seems to be chosen by many in game, but they do not have enough charisma and charm to have many discussions about them. They are good companions, interesting personalities, the developers did a good job but just ... just not that.
Creative people like bright, charismatic and self-loving maniacs who have a difficult fate and who know how to inspire
I'm on the record saying that Shadowheart is the most interesting companion to me so far, probably the best written too. But the Shar/Selune speculation threads are long fallow now. People enjoy discussing morally compromised characters, and more, how they feel they're being treated by the game.
Indeed they are the most interested in morally grey characters, simply because they have flaws, just like real life humans. They offer huge potential when it comes to roleplay and potential change of character, simply because they feature the traits of 2 sides. It's up to PC, towards which side, they will be moved to. Purerly heroic or evil characters are just cartoonish, unless they are supernatural, but then they might be boring.
I agree that Shadowheart is well written. Out of all companions though, I like Lae'zel and Gale the most, since they seem to be the most loyal and trusted ones. Gale can be convinced by PC to stay even after we have done something that goes against his views (attack on the grove).