Well, if you don't like any of the major characters, then perhaps the books aren't for you. That's okay, there are plenty of other great books out there that might suit you better. I recently put aside Gene Wolfe's Books of the New Sun for that exact reason. They obviously had value, but it wasn't value applicable to me.
That being said, I just finished A Wise Man's Fear and think it's a wonderful series. For a debut novel, I'm really surprised at how good it is. For my own money, Book 1 was better than book 2; it was tighter, the writing in 2 was more indulgent, and some scenes, like the Felurian chapters, went on longer than they needed to. And the Adem were pretty much my least favorite fantasy cliche, the rabid bigots who never get called on it because the author is using them as a mouthpiece for all sorts of things that he finds cool, which also have fantasy martial arts which are totally superior to everything everybody else knows, even though self defense is determined by body mechanics which are the same for everyone...Go Go Run-on sentence.
I don't think you're supposed to like Denna. I think the author, unlike his protagonist, is quite aware of just the kind of manipulative person she is, but if my own adolescence and young adulthood is any guide, is exactly the kind of woman that a certain sort of young man falls madly for, and then proceeds to do all sorts of stupid things for. I think you're supposed to feel sympathy for her, because it's fairly obvious the choices she makes hurt no one more than herself, but I don't think you're expected to feel for her the way that Kvothe does.
Oh, and talent does not make a Mary Sue. Kvothe is a talented character--but no more so than Leonardo, or Mozart. Imagine an autobiography by one of them.
