Nei, because she was the original and completely unexpected. As she was from a different race, I expected she would be a key character late in the story. That was so shocking, you have a character (and she was pretty good at the time, very strong and usually the first to hit).
On the other hand, Alys is one of the blandest characters ever. She stops being funny after the third time she opens her mouth because he keeps repeating the same babbling over and over. Then, she was meant as a copycat of Nei: two heroes at the beginning of the game, one with something strange about her levels... I knew she would most probably die after 3 minutes of playing. The absence of strong equipment for her later only confirmed that. Her death was a big letdown for me, not because I was shocked, but because that was just another gratuitous reference to other PS games and I started realizing the "fantastic PS team", which everybody praises, was there not to make a game, but a sell-out product.