Hmm, so many good choices, and I heartily agree with the ones others have named so far. I'm mostly playing my privateer in Marleybone right now, so Marleybone is on the mind, and thus will add to the list:
Mycroft Bones: He's cool, he dresses enviably well, and I always love to talk to him and get missions from him.
Puddles: Puddles, the hopeless guard for Meowzer, he's just so... daft. And kind of adorable being so.
As for villains, yes, Hank, I would agree with you for Phule -- he's so creepy yet so fascinating! Dangerously so. Perhaps my favorite (?) villain so far though is Deacon: he's cold, nasty, clever, very sneaky, and scary -- you know he can get you, because he already did (that's how you started the game!). After a couple incidents in Cool Ranch and Port Regal, Anne became very paranoid for a while, wondering when he was going to pop up out of nowhere again!