Phantasy Star gives you control of four characters. You start out with Alis only. The other characters will join you later in the game. There is no way to create your own characters or disband any of your characters. The following is a short description of each character with an experience table and the respective stats.

Alis:

Alis' brother Nero, who rebelled against Lassic's terror reign, was killed by Lassic's minions. So Alis sets out to battle Lassic and revenge her brother. There is also a secret about her, something even she herself isn't aware of... yet. In combat she is a well-rounded character with decent fighting skills. In higher levels she is able to use some mainly supportive spells, making her even more useful.

Myau:

Myau is a cat-like creature that joins you early in the game. He/she is - similar to Alis - a well-rounded character, useful for combat as well as able to cast some supportive spells. Myau can't use most of the standard armor and weapons, but with some special equipment he/she is an incredible fighter, being able to inflict lots of damage and with a good chance to dodge attacks from enemies.

Odin:

Before Nero died, he told Alis to find Odin, a strong warrior, who would be of great help to her. And when Alis frees Odin from his "imprisonment" he is gladly following her. Odin is the typical warrior-type character. He can use almost every armor and weapon, including axes and guns, and is incredibly good in melee combat. But he is also the only one who can't cast spells, making him somewhat dependend from the others.

Noah:

Noah, one of the last Espers, decided to live in solitude in a Motavian cave. When he gets the request for help he will join the party though. Noah's magic is strong. He is able to cast many powerful attack and supportive spells. Due to his lack of physical power he might get problems when fighting, especially when he only has few MagicPoints left.
Interesting sidenote: Because of Noah's very feminine appearance he is referred to as a "she" in the US release of the Master System version. They fixed this with the re-release on the GBA though.