Hmmm... well, I have two favorites, and my reaction would be different depending on which one:
Luna:
1)Wake up to Luna sleeping near the foot of my bed.
2)Stroke her fur for a bit (I couldn't resist doing so. X3).
3)Walk calmly to the kitchen and fix breakfast, being careful to make something entirely vegetarian for Luna.
4)When she wakes up, calmly ask "So, How'd you end up here?"
5)Perhaps take a walk with her in the nearby park, asking various questions about herself and Equestria while spectators stare at the midnight-blue pony with wings and a horn that can talk.
The entire time) Freak out internally. X3
Big Mac:
1)Wake up to Big Mac at the foot of my bed.
2)Stroke his fur (again, can't resist X3)
3)Attempt to wake him up in a non-rude way.
4)Ask him if he knew how he got here.
5)Stroke his fur... again. To make sure he's real.
6)Fall back to sleep
7)Wake up again an hour later
8)Do Luna's step 5, replacing a midnight-blue-colored mare with a red stallion.
The entire time)Less of a freak out, but still as such. X3