I am very fond of Rarity and Fluttershy, but Twilight Sparkle is my favourite pony. As for why, I'll quote myself from another forum: "for her mind, her courage, her unique mix of childlike innocence and adult knowledge, and for how heart-breaking the scene was when Discord defeated her, however briefly. And the emotional see-saw back up the other side when she reread all the letters she had sent to the Princess.
Of course, Fluttershy is still the most adorable of all ponies and Rarity's is still the most interesting and nuanced personality, so I'll probably change my mind again in a week or two."