Twilight and Starlight, I love them both so much. Twilight because she puts her best effort into everything, and she has grown so much. She is pretty obsessive but intelligent, all the while being an amazing friend. And even though she loves studying and magic, she puts her friends first. Character design wise, I'd say she has the best design in my opinion.
I like Starlight for a similar reason, being that she has grown so much. She also feels really remorseful in regards to her past. And I relate to her the most out of everypony, probably. She got scared about confronting her past and that happens to me all the time. I feel like she is often overloooked.
Celestia is also amazing, I feel like she is also overlooked. She's made some mistakes with her sister, but you can't blame her or Luna for that. They both have their differences, but they do work them out in the end. Being the elder sister of the princesses of equestria, it's rational to think that you will mess up along the way, and it would be hard for her to bond with her sister due to her plethora of royal duties. So she's a very strong character, been through a lot.
And last but not least, Fluttershy and Pinkie Pie are my favourites too. I relate to Fluttershy what with being too passive and learning to be assertive, and being shy/not confident. But at the same time I relate to Pinkie as I just love making people happy, and I try to be optimistic as possible whenever I can. Plus they are cute.