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Neku Sakuraba. We have our differences, but he's the character I've been able to identify with the most.
Another character I really like is Naomi Kimishima from Trauma Team, a game that came out some months ago. She makes me laugh so often with her attitude.
Some other characters I like too: Cloud Strife, Lightning Farron and Samus Aran (even though there's not that much information about her, I like her).
I don't think anime/JRPGs characters are that shallow... Even Vanille has a little backstory. I don't like her, but she's not completely shallow. But that's just my opinion, everyone can have their own opinions.
You want shallow characters? Read/watch the Twilight series. Wait, no, do yourself a favor and don't do it.