Depends on what you are looking for.
Shadrich the Mad Mouse has the best armor you can steal for the lowest price and on top of that has good stats.

But Syrio Forel has the best training stats so in the late game when you got over 100 units that you wanna train up he is quite good.

Personally I like Podrick and Gendry the best because they are low level, low cost and as you level them up you can specialize each one in either Surgery and first aid, whilst the other in wound treatment and engineering.

But all companions aren't gonna wanna be in the same party as each other (they will disband if they are kept in the same party as certain companions).
If you want a chart for these here it is (https://aworldoficeandfire.co.uk/wiki/index.php/Companions)