I really like Niko, hes probably the only character I actually want to succeed in his search. I think the story is really well set up with him coming to a new country, being knocked around, all while he's trying to find his way.
I liked the whole gangbanging thing in SA, but CJ was really whiney and didn't seem to bright. Tommy was a badass, but sometimes felt as if he was "trying too hard."
Niko > Tommy > Claude > CJ