Both characters really develop during the show (which I love… especially because they are both two female characters).
If you love the musical I REALLY recommend the actual book Wicked: The Life and Times of the Wicked Witch of the West by Gregory Maguire. Warning: It's for adults. The musical is VERY loosely based off of it, so it's like having two Wicked stories, which is awesome.
Elphaba will always be my favorite character, but because of Maguire's book. No Good Deed is my jam.