Between Gaige and Krieg I have to go with the latter. I just love his background story and skills, he's an awesome character.
I love Gaige with a passion. It's mainly because she fits my playstyle perfectly though. Krieg is really cool, but I can't really use him well enough for it to be fun.
Krieg was an amazing addition, everything he went through that led him to become such a psycho is very well put. Also, who doesn't love axe related action skills?! I am still hoping for some more DLC characters but I guess it is more likely to see a new Borderlands game than that, still Borderlands 2 sure did a great job with his character design and the psycho pack sure is worth it.
Krieg for me, I like Giage's concept, the whole support your monster thing (and deathclaw is seriously strong), but Krieg just feels like a BAMF to me. I felt that he was what berserker in the first game should have been, and coupled with all the customization you can do in Borderlands 2, you get a character that really sticks out even amongst the other classes.
I like Kreig better as a character, but Gaige is more fun to play. I think Kreig is hilarious and I dig his dialogue, but I think he falls behind as a playable character, especially in true vault hunter and ultimate vault hunter modes. I find that he's strongest as a melee build, which really isn't realistic for the higher difficultly modes. Gaige has her moments but I find her kind of irritating but on the other hand, she is incredibly fun to play and can have some insane damage output if you decide to go with her Anarchy stacks. You have to be a little more careful in her build with higher difficulties but I think she's far more likely to not die constantly than Kreig is.
I think you have to be extra careful with every character's builds when you go up to the higher difficulties, but I agree with your points nevertheless. Gaige feels like a really strong character.