Sigurd because he's an amazing unit, looks cool and has a Norse name.
Leif because he's one of the few Lords who isn't completely perfect, has to suffer for his mistakes, is neither too strong or too weak, looks cool and has a Norse name.
Marth in Shadow Dragon because he's an interesting and well-written character.
Ike in Path of Radiance is also pretty cool, is a fairly interesting character and is a great unit.
Overall, I'm not really a fan of the main characters.