I am completely obsessed with this show. It's become a full-blown special interest for me. In addition to watching the show itself, I spend literally hours every day doing research on it and looking up artwork related to my favorite ponies.
My favorites out of the Mane Six have changed a lot over the time I have spent watching the show. When I first got into it, I expected Rainbow Dash to become my favorite. Then for awhile I liked Pinkie Pie. Now I think I can safely say that Twilight Sparkle and Fluttershy are my favorites. I've never been much of a fan of either Applejack or Rarity.
As for minor characters, I really like Photo Finish from the episode "Green Isn't Your Color" because she reminds me of the Johnny Depp version of Willy Wonka. (They share similarities because they are both supposedly based on the editor-in-chief of Vogue magazine, Anna Wintour.)
Also, I think that Screwball (the crazy pony with the propeller beanie from "Return to Harmony pt. 2") needs more love from fans. I think she's neat.