At first, I thought Aqua was going to be a boring, weak character, much like most of the previous KH females... fortunately, I was proven wrong. She's awesome. I love how she's pretty much the guardian of Ven and Terra, and is always looking after them. She's strong and can hold her own, and not needy/weird/annoying, unlike many of the other girls in the series (save for Larxene, and Xion, if you can even count her.) I was really happy we finally have a respectable girl in the series.
Ven was boring. o.0 Still cool, though. Vanitas' better, though.
And Terra was awesome from the start. While the ending was kinda-sorta predictable, the whole scene was exciting and awesome. Also, his story was most epic (for me) and had the most surprises. I liked his character development (with darkness, friends, MX and stuff) the most as well. He's my fave. <3
In terms of tragic-ness, I think it's a tie between Aqua and Terra. Terra ultimately lost the battle against his darkness and was possessed by MX, and eventually lost control of his body. Aqua sacrificed her life in the RoL for Terra, and was plunged into the RoD for 12 years, wandering aimlessly. That sucks. :-[