In Chapter 3 Celica part, you need to choose one of them to be an ally, also you have to beat the one you don't choose. Which character you should choose is totally up to you, but here are some suggestions in case you can't choose by yourself.
Sonya the Mage is a ranged unit and can learn Excalibur, a powerful balck spell. She can also learn white spells after promotes to Sage. If you already have powerful melee units enough, choosing Sonya will be better option.
Don't be nervous!
Even if you pick Dean, that is totally fine. Choosing a character you like to play will be the best.