I always thought that Cloud was such an intriguing character, that we could definitely have done with seeing more of.If we are talking about characters JUST from kingdom hearts, i'd have to go with the obvious and say Sora. But I really love cloud and sephiroth, especially the ways they appear in the KH universe.
Axel is definitely a favorite among fans for the reasons you mentioned. And I can totally relate- I love his weapons.First of all, I'd like to say that I love Kingdom Hearts. Second, I think my favorite character would have to be either Mickey or Roxas because Mickey is mysterious and Roxas is just as mysterious even though we know more about him. Axel also intrigues me, mostly because I love his weapons.