I don't think I can just pick one.
Xuiying (because if there's one video game female I would fall in love with, it'd be her) Ren (Because you can't help but love that crook with the good heart, and yeah, he's just so cool) Shenhua (Because she's so mysterious, has special powers and I really just want to know more about her!) Jianmin (because of his personal relevance to my life) Ryo (Because he's a slab of manboy, but a capsule loving, adorable slab of manboy) and Tom (Is he Jamaican, Indian or Japanese? I'll probably never know, but it's hard to think of a more colourful and endearing chap.)
Those would be my personal favourites, but really Shenmue is packed with so many great characters, so I'm still not quite happy with that list!