My favourite is Fluttershy because of how accurately I think she shows shyness. When I first saw her, I thought: "Oh wow, I do that!" She's just so timid and adorable, and her voice is really nice and soothing. I also love her design. Nice long flowing hair with gentle pastel colours.
Although I like the Mayor too. I think she doesn't get enough love. Quite frankly, I think she's rather awesome.
Oh and Celestia! I know everyone thinks she trolls, but I think she's really rather cool. Her design, first of all, is glorious. Secondly, I like her personality. She's regal and wise, but also isn't afraid to have fun.