When I was a kid, I really loved Luigi. He was such a lovable and quirky character and he used to be my main in Brawl. But I think the main reason why I liked him as a kid was his role in Super Paper Mario as Mr. L. I thought Mr. L looked so cool and acted so over-the-top, complete with a giant robot battle in space in the 2nd half of his boss fight. People say that Luigi doesn't get as much love as Mario, but I always thought the opposite. I don't love Luigi as much as I used to, but he still remains as one of my favorite Mario characters.
I remember there was a time when I really loved Rosalina too. There was something about her that I find really appealing. Maybe it was her calm demeanor, or her deep backstory, or the fact that she was becoming more popular at the time. I dunno. What I do know is that she remains one of my favorite Mario characters for some reason.
Nowadays, the only Mario character that comes to mind as my favorite is...well...Mario himself. I like his really energetic and optimistic personality, he's my main in Smash and...well...I like his games. That's about it.
Some honorable mentions are Roy Koopaling (cuz he's our boi), Daisy, Dimentio, Wario, Fawful, and Yoshi.