Although I agree with everything that everyone above has said, that all of them are integral parts of conveying your vison on the screen, in my opinion, the importance of all the features shift depending on the type of project that you're working on.
Characters are, in my opinion, most important if you're working on a longer film, or if you're writing for a series. Obviously as a story gets longer, the audience has more opportunity to experience a character, more time to think about them, so characters have to have more to give in longer stories. You love TV shows like Friends, How I met Your Mother, and Mad Men for the characters more than the themes or story events. Characters have elements of theme and story existing within them, and so character is the most important element of any screenplay, but thats just my opinion.
Themes are the sort of more ephemeral, non-explicit part of any screen play, you feel it in the cinematography, set design, acting, and lighting as much as in the writing, so it is in some ways, as much up to the director as the writer. That being said, theme tends to shine more, and be more appreciated in more artistic films. Im not saying that theme isn't important for action films, it's just much more noticeable, and therefore effective in heavier, more dramatic, deeper, even more philosophical films.
Story, in my mind is the driving force of any film, sort of what you do to move from moment to moment, but instrumental nonetheless. A strong story is what immerses you in the experience, so the story becomes important in fantasy, or non-realistic films, or if the film is slow, then a strong story is key to keep the viewer immersed in the world that you create. That being said, any film is, in the end, about telling a story, so it is very arguably the most important component in writing a screenplay, because without a story to tell, there isn't really much of a film
Obviously these are just my opinions, take from them what you will, hope that I was at least a bit helpful in someone's production. In my opinion, it's the writing that makes or breaks the film, it's like the foundation, off of which everything else is built. My first few projects failed from weak writing, comedy is damn hard to write when you aren't funny.