I've got my favorite character set as party's "lead" character (the first one in the menu, and the one shown on screen when walking around the map). But it seems like they get attacked by enemies significantly more often than the other three characters. Is the lead character purely a cosmetic choice, or is that character targeted more often than the others?
Enemy targeting is largely random as far as I can tell. If you're having problems with a certain character being targeted, make sure they aren't using any targeting modifiers such as wearing a Red Muleta or the Pirate's Provoke. If your other characters are using Freelancer's Mislead or Ninja's Kakuremi, that might also be the issue at hand.
You can also use the aforementioned things to decrease the chance of your character being targeted if that's a problem.