I think Zechs Merquise (or Milliardo Peacecraft) has the most complex story and personality.
[B]Gundam Wing and Endless Waltz SPOILERS[/B]
First of all, he sees his country, the Cinq Kingdom destroyed. Seeking revenge, he joins the organization who destroyed the Cinq Kingdom. He becomes a respected soldier in OZ and a great friend to Treize Khushrenada, OZ's leader. Later in Gundam Wing Zechs sees that the Cinq Kingdom is destroyed once again. After this Quinze of the White Fang persuades Zechs to assume leadership of the White Fang. The huge conflict between Earth and the colonies, and the fight for peace and pacifiscm at the end of Gundam Wing is another thing to consider. He is fighting against his former friends (Lucretzia Noin, Treize Khushrenada) and his only sister (Relena Peacecraft). Then Zechs returns in the Endless Watz and is back fighting on the side of the Gundams. Quite complex if you ask me.
I can understand though that all of the characters have quite complex stories. Quatre loses his father and almost kills Trowa. Trowa loses his memory. Heero is made to be a human weapon. Relena is fighting her brother. Dorothy loses her grandfather, Duke Dermoil. Treize is fighting Zechs, almost loses Lady Une and ultimately dies. Wufei loses his master when he slef-destructs the colony, and puts himself through a hard time after losing to Treize.
