Honestly, I think all companions have interesting concepts and backstories. The problem is how they shape their personalities and dialogues.
Lae'zel is the most cohesive and believable. My favorite.
Shadowheart was improved quite a bit on last patches (although she has some annoying lines occasionally).
Astarion is just a waste of a character, he would be so much more interesting if 90% of his lines were not infested with humor. He is more of a jester than a vampire-spawn.
Gale's lines lack inspiration and most of the time he is stating the obvious in the most uninteresting way. Very artificial, non-organic, off-putting dialogue.
