I usually always pick up Ymira because she costs nothing, she levels fast and unlike Jeremus she gets along with Artimenner who's the only decent engineer in the game.
Deshavi and Borcha are also helpful, especially when using armies with no cavalry because of her added movement speed (path-finding) and spotting ability.
Rolf is the highest level/best fighting companion out of the gate but Alayen is your best best if you want to groom a fighting companion because he has 11 strength at level 2 which is more than Rolf has at level 10 and has similar weapon proficiencies.