My favorite pony has to be pinkie pie. Just because she taught me alot about how to always be happy and always try to find the good news in bad times.
This one is hard because I love Fluttershy and Twilight equally...but if I had to choose between the two of them, I'd have to go with Fluttershy hands down.
I like Rarity because she's among the most self-destructive, while also being both artistic and altruistic. It's cool to see a character who's main struggles are against herself, and not against external forces. I mean, the only other character who approaches that is Rainbow Dash; Twilight/Applejack/Fluttershy/Pinkie all tend (on average) to ultimately face situations or people who they need to overcome, but Rarity and Rainbow Dash are more frequently pitted against themselves in a battle of desire versus ethics. Rarity's also goofy on a level matched only by Pinkie Pie, but frequently with more context and melodrama instead of cuteness and randomness.