It's a bit tough to say how and why I ended up with Fluttershy, as my favorite pony, other than the fact that I'm a sucker for cute things. I had already watched one episode, without her in it and loved it, and was debating with myself whether to watch any more. I was looking at clips and saw a load of Fluttershy ones, and I just thought she was really adorable, so when I finally started watching for real (in order of episodes) I already kind of liked her, but she became a character I just really cared about for some reason - as strange as it may sound, she's someone I'd look after if she was real.
My second favorite is Rainbow Dash, and it's even stranger how this happened (warning; shipping involved). For some reason, the more I looked at fan material, and the more I looked at how the characters behaved during most episodes, the more adorable Flutterdash appeared in my mind. Please keep calm if you hate shipping; it is non-canon, and I even alternate between shipping and friendshipping with them.
I always kind of found her cool in general, but the fact I had started shipping her with somepony made me automatically look for the nicer side to her character (I still realize it's not canon!) I looked at episodes like "Sonic Rainboom", and "The Cutie Mark Chronicles" which showed a much nicer side to her in some scenes, and episodes like "Sonic Rainboom" (again) and "The Mysterious Mare Do Well" showed her in a really relatable light - her arrogance was no longer something to hate about her, it was a flaw to understand about her character, and to make her relatable (I could go on much longer about her best episodes in my mind - the ones that make her more "real"). Also, once MLD happened I was relating to her even more - it's really tough to tell how this happened. Basically, I didn't have a second favorite pony for ages - just a favorite pony, and a favorite shipping for that pony.
The CMC are my third favorites (because I just can't choose between them!) partly because the first episode I watched was "The Show Stoppers" (an episode I'll always have a spot for), but also because I find their storyline really relatable; when I was a child I always questioned what my purpose in life was, and what I was meant to do in the world. I would have loved for the CMC to have been around when I was young, it would have been a very relatable storyline for me - that's one of the reasons I'm fascinated with cutie marks in general, it's a storyline I want to explore.
If that was too long, I apologise - I tend to type a lot when I'm passionate on the subject.