Hmm that's difficult. Practically every character has something horrible happen to either themselves or someone they love.
I'll go for "Prince Aegon" (Young Griff). Although his family were killed when he was a baby, he wouldn't remember them. He seems to have had a happy upbringing and now is on his way to achieve his destiny! (That is, if he is real. I have a feeling he's gonna be a Perkin Warbeck like figure).