I mean, real talk. How useful a character is basically depends on preference, and who you want to see/engage with most in the game and battle.
Mog is cute and a very versatile party member. His dances are really cool and useful.
Edgar is a strong DPS (or
DPT since this is all turn based lol) with good versatility. He also has unique status effects that are inflicted by some of his later tools.
Blue Magic is kinda/sorta useful, however you don't really
need it. But it's worth collecting since some can be learned early and are useful and some skills are missable forever.
Sabin is
fucking legit. Blitz puts in work, and he's very versatile and very strong. Like, there's a reason he's used a lot. Just learn his inputs and put them in properly.
Celes is a legit warrior mage hybrid and Runic is
broke. It'll save your ass in a lot of battles. She's got magic and might all in one package.
Terra will gain a powerful ability later on that makes her a spell slinging super-warrior. She's
very useful and important.
Locke is great because of his versatility in equipment usage, weapon equipment, and stealing is very useful in FFVI. Like, there's a lot of good shit you can find in this game by stealing, so having him around and at a high level will make getting good gear early very possible.
Setzer is... gimmicky. Like, if you build him to be broken and exploit his unique weapons, he's a monster. But that's only if you build for it. His Slot mechanic on it's own (because he's a Gambler class) is horribly inconsistent.
Cyan walks the line between mediocrity and just plain poor. His Bushido just takes
too damn long. But if you pull off the
Psycho Cyan glitch...
Relm's Sketch ability is no longer the disaster it used to be with the SNES. She's also good at controlling enemies.
Gau is like a Blue Mage on steroids. He doesn't just use enemy techniques, he
becomes them. You can do some crazy shit with him.
Gogo is awesome for... Well, you'll see.
For me, my primary party was always Terra, Celes, Locke, and Sabin. I'd sometimes sub out Sabin for either Edgar or Setzer. Depending on my mood and the battle. But FFVI is an ensemble cast, you can use whoever you like for the hell of it.
OH! And this is not explained
or even hinted at, at all in game... But FFVI is the
first FF game to introduce Limit Breaks. But they're completely hidden.
If a character is in "danger" status (i.e. crouched on the ground due to the low HP), and you choose to attack an enemy, there's a 1 in 16 chance they will perform a unique limit break attack instead of a basic attack. However, no character will do their limit break within the first 26 seconds in battle. They're especially useful in the coliseum that'll unlock later in the game, where the A.I. will pit your character against a random challenger.