All right, I'll hold off on the twins. I shall also go through some of the scenarios in a few hours, and see which ones I can get a good story for.
It shows, OP. None of the characters feel 2D. Well, except for Elizabeth, but that's why we love her. We needed a stereotypical Sister in there somewhere.
I couldn't really think of a top three, but for the depth of characterization and my ability to explain, I think I would have to go with Filigree, Caramel, and Florencia.
Filigree is fun, because she is a non-traditional take on daemonettes. People love to focus on the sex, drugs, and rock and roll aspect, but I have always felt that the artistic side of Slaanesh is rarely explored. She is also just a funny character, while still retaining her depth, which is again quite rare for daemons. The romance between her and Delessa is absolutely adorable, as well.
I love Caramel since she just tries so hard. The poor thing was broken, possessed, nearly killed multiple times, horibly mutilated, and other horrible things, and she is still going strong. She also stays true to character in the fact that she doesn't feel worthy, is always seeking penance, and otherwise showing her Sisterly awesomeness. I think we should probably have her serve with Delessa if we survive, though, since it would be hard for her to serve with the rest of the Sisters.
Florencia...well she's just Florencia. A raging bitch in the best possible manner, and a foil to everybody else. I mean, we're practically running the Reasonable Order of the sisterhood, so we needed a raving zealot to balance everything out. Her MEGA-TSUNDERE towards Galatea is just too cute, as well.
I could go on at length about the other characters, though.