How does the +whatever% at level up work? I watched it, for example bahamut, my sabin went to 35 while having bahamut equipped and his hp only went up the normal amount.....how does this work?

Not really entirely sure about the HP and MP bonuses. I'd say look for the ones that give +1 or +2 to a particular stat instead --- those will benefit your characters more in the long run.

There are certain Espers who benefit certain stats more than the Esper next to them. Some grant +10% to HP, while others grant +2 to Magic.

Edited

Some grant +2 to HP, while others grant +2 to Magic.
That'd be a sucky esper that would grant +2 to HP. No, as Zend was saying, the HP and MP bonuses work on a percentage basis. That's why I'm saying stick mostly to the ones that grant bonuses to stuff like Magic and Speed, etc. etc., rather than HP or MP.

if you were to gain 10 hp on a normal level up, and you have a +10% hp esper equipped, you should then gain 11 hp on your level up.

also, Odin is probably the best esper 'cause +speed on level up.