Since I mostly play dps mage type characters, for me, I personally like Shadowheart as she is very nice to you from the beginning and opens up to you later on when something happens to your character (don't want to spoil it for anyone that hasn't run into that). Aside from her personality, she is very useful in keeping yourself and your other companions alive. She's mostly my healer in the group. My second favorite and the one I usually romance is Astarion, I know he gets a lot of heat from some players because they don't like his personality (although I have run across other players that totally love him, he's an acquired taste, love him or hate him) but I can understand why he is the way he is. It's in his background story, he's a spoiled , high elf noble who happens to also be a vampire. He's very seductive. I keep him because it's always useful to have a rogue and his vampire bite ability is 100% effective on enemies. Lae'zel is a warrior so she's also good to have in my party, since she is the strength of the group and can take the most damage. As for Gale and Wyll, I only use them depending on the mission and if its a personal mission. They are my least, as in my experience they get hurt the most.
