I've always been a fan of Kanji's S.link -- I haven't finished him yet in Golden, but I liked him a lot when I played on PS2. I also love Ai (moon), who was a lot better than I was expecting. I think Death is also one of my favourites in this game -- I feel like it at least comes close to the emotional depth of Sun in Persona 3. Naoto's pretty fun too. While I love Nanako and Dojima, I feel like their social links are only one small aspect of their roles in the game, so while I love the stuff that goes on with them, it has more to do with all the events of the game rather than just their s.links.
I think some of the party members you get early on are a bit boring. Yosuke's is pretty shallow IMO, and I've always felt like he was a poor man's Junpei from P3. I've never much liked Chie's or Yukiko's either. Always far preferred Naoto and Rise. I think Devil had the potential to be pretty cool, but it felt like it could have used a couple more events to develop better, and Tower is pretty silly as well.
Overall, just like P3, P4 definitely has its high and low points.
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