If you pick Kratos, Colette, or Zelos, you get an item after the Flanoir scene (so if you want to fill your item collection, you have to play through the game at least three times). If you pick the Kratos ending, Zelos will leave the party and Kratos will stay with the party for the remainder of the game after a certain point. Picking anyone else, though, will make Zelos stay with the party.
Really, there isn't much of a difference other than those I mentioned above. If you don't care about which characters stay in the party or about collecting the items, then just go with your favourite character of the four since then you'll get to learn more about them and you'll have slightly altered cutscenes with them in it. The rest of the game stays, for the most part, unchanged. o.o
