Interesting.
Twilight: Definitely more along the lines of adult contemporary and R&B music. Stuff that isn't overly intense, but at the same time is good and sometimes complex music for a complex mind. In that sense, I could see Twi being a big indie rock fan as well.
Fluttershy: Indie Pop or Dream Pop. The music relies on really bright texturing with soft spoken vocals and typically sounds overall pretty happy. New Age and maybe indietronica might fit.
Applejack: Definitely country rock and western music, but I could also see her listening to just plain classic rock staples.
Pinkie Pie: Top 40 hits, a whole bunch of EDM (electronic dance music), and maybe add in some disco and soul, since she does like to dance and party, and what better music to groove to than disco?
Rarity: Classical music for a classy pony. I could also see her going towards lounge music and some jazz as well, more sophisticated music to say the least.
Rainbow Dash: Alternative and Punk Rock, mixed in with a little metal. Intense stuff with driving rhythms for somebody who always moving and with high energy (when not napping). Could also put some dubstep and harder hitting electronic.