Hmmm...Well I would want a well-balanced team. Also, as much as I would like to put Sephiroth in my group, I don't think having an antagonist would be such a good idea. So I'll go with the protagonists.

My team would be:

Auron- My warrior in the group.

Fran- I could customize her abilities to make up for anything that my other characters lack or what my party needs.

Lulu- My mage. I could probably do better by picking Yuna, but I just like Lulu more.

Selphie- I don't particularly care for her as a character, but her limit breaks are pretty damn awesome. Full-Cure and The End could be really useful. Also, looking at my other choices, I seem to lack the "comic-relief" character. I guess she could do that. I don't want my party to seem too moody all the time.

Whoa. Girl power. Haha, I didn't realize that I only have one dude until I looked back over my choices. Meh. Auron needs to hang out with girls more anyway.