Oz Vessalius is a great character to feature. His complex backstory, including his connection to the Abyss, gives a lot of room for exploration in a fanfic. Another good one is Alice. Her brash and often unpredictable nature can add a lot of interesting twists to a story. Also, Gilbert is a character full of loyalty and internal conflict, which can be used to create engaging storylines.
Definitely Xerxes Break. His mysterious past and his rather cynical view of the world make him a very interesting character for a fanfic. You can really dig into his motives and his relationship with other characters, like Sharon. Sharon herself is also a great choice. As a young and powerful member of Pandora, she has her own set of goals and relationships that can be explored in a fanfic. And let's not forget about Vincent Nightray. His dual nature and his complicated relationship with his brother Gilbert can be the basis for some really intense fanfic storylines.