Let's see:

1. Lae'zel is probably the best, imo.
2. Shadowheart remains high on my list.
3. Probably Astarion next. He's fascinating, and his history is deeply sad.

--after these top three, I start having more problems with the companions--

4. I'm going Gale next, although I really dislike his grandiose history.
5. Minthara, who I can't place higher because there's not enough about her in the game.
6. Karlach, I suppose is next. I can't reconcile her history with her personality. There's not enough scars, emotionally.
7. Wyll. There's something there, but the writing didn't manage to capture it, imo.