It went from the Prismrivers to Youmu to Koishi, so twice. Originally, when I had only played PCB, the Prismrivers always stood out to me as that one really difficult battle, three funky personalities, and that awesome theme that was my favourite piece for quite a while. I especially liked Lunasa the most, so you could call her my first favourite character, although I've been fond of Lyrica recently as well. It's a shame that they are so forgotten about, even though they are the stage 4 bosses, but I guess that's because you can't do much with three characters that belong together so tightly like that. Overall, I still like the Prismrivers, but neither they nor their theme are in my top 10 anymore (for characters and music, respectively, of course).
So then it became Youmu at some point, I don't remember when or even why. She's just a pretty badass character who still manages to be cute. However, while she was my favourite character for quite a long while, other characters have been knocking on the door, particularly Satori. I assume Youmu stayed my favourite due to a mix of loyalty and Satori being a rather edgy character (in-universe), whereas Youmu is just easy to like.
In the end, I fell into (platonic) love with Koishi, even though she was one of the few characters I disliked (the only? meh, I'm not a fan of Yuuka). I found the "thoughtless, mindless" concept rather depressing and creepy, so I was turned off by that. Eventually, she rose and rose, though, and became my favourite character as a result.
It's also noteworthy that Koishi is the only character I liked before I encountered her in-game.
Other characters I really like are Satori (as mentioned), Orin, Patchouli, Aya and Mokou (who is my new depressing character now), with the likes of Yuyuko, Tewi, Kogasa etc. not far behind. It makes me quite happy to see Youmu, Aya and Satori back-to-back in the top 10 in the popularity poll.
It pretty much switches between Utsuho and Koishi all the time. So much so, I call both of them my favorite character. Though they are better when as a big happy family: Satori, Koishi, Orin, and Utsuho.
Hell yeah! The Komeiji club is pretty awesome, although Utsuho never rang with me.