I have always had great sympathy for Princess Luna, not just because she is my favorite character. She has struggled with things that I can relate with. Things in my personal life have really reminded me of experiences that have happened with Luna, especially with what you mentioned about depression and such.
However, if I am not going to be biased, my other favorite character redemption/character villain would have to be Diamond Tiara. It was sad to see how her personal life affected her attitude towards others. And I am deciding to classify Diamond Tiara as a reformed villain based on how she was portrayed before redemption.