As far as the story is concerned the most interesting for me are definitely Lily and Cobra. Hell, I might say that they are the only ones that I feel matter story wise, I love the other characters (Khulan somewhat less than the others) but their floors could be missing and you would certainly miss them gameplay and domination wise, but not story wise.
Cobra on the other hand has us wondering both with who was she talking to in the Lily scene, and what is going on with her room (god damn it Ethan, allow the lady to drain your levels to get some answers, we all know that every party involved is going to enjoy that).
As for Lily I think she has a heroine feel. She both has the most background out of any of the other girls, and as odd as it sounds to count as a plus in a femdom game, she is the only one that gives out the vibe that could be in a relationship with Ethan instead of just having him on the side as a pet. Don't get me wrong, it would be a one sided relationship power wise, and Ethan might end up doing as a pet would anyway. The fact however that she seems to want to turn Ethan to a pet because she's interested in him and not because he's an easy to get toy, I find both refreshing and appealing.