I usually stick to having Yuffie and either Cid or Barret.
I've noticed a lot of people tend not to use Barret for some bizzare reason, since he's easally one of the better characters for a few very simple reasons - His high Vitality and attack coupled with his enormous amount of HP make him perfect for the CoverCounter AttackAdded-Effect PoisonCounter-Mug (a bit later) combo in the earlyer stages. His Limit Breaks are the 4th most powerful after Aeris (1st), Cloud (2nd) and Yuffie (3rd). Finally, his Missing Score get more powerful the more AP it has on the Materia, so giving him the Underwater Materia and killing shed-loads of Magic Pots will increase his attack enormously.
Aeris is another character I like to use at the end, although I'd suggest putting her back into the party after
you've fought Diamond Weapon.
:edit: I can't help noticing the worrying amount of Tifa fans here - she really isn't all that good. Being that her Premium Heart requires a full Limit Gauge to be at 100% attack power, this causes her attack to plummet every time you attempt Final Heaven. The only characters I find Tifa to be better than are Vincent and Cait Sith, both of whom have extremely feeble Limit Breaks.