Sakuya was the first character I got to know, even before learning what Touhou is. One could even say she got me into the fandom (or to be exact, a remix of her theme - Flowring Night) Months later, I finally kicked myself into learning some more info about her and trying out my very first Touhou game, PCB, because she's playable there. Unsurprisingly, she was the first character I cleared the game with (yeah, easy mode) But then I started studying the lore, both fanon and canon, and things started changing.
I have a philosophy that you can't call yourself a fan of a series if you don't like the main character. I had no problems favoriting Reimu. Her homing amulets, little hitbox and the fact that I like shrine maidens made me become attached to her for quite a while. However, the more I learned about her, the more ambivalent my opinion has become about her. I still hold her in high regard, but unfortunately, I can't lavish much sympathy for her portrayal in canon now. There are things I both love and hate about her, putting her in a unique position on my list of favorites. Admittedly, some fanon portrayals of her are absolutely adorable.
While I was still a Reimu fan, I read an article about PCB and its cast. That's when the name Yukari Yakumo came to my interest, as the very last boss of the game. After reading her profile and seeing some game replays of Phantasm stage, my thoughts about her were shifting between "Wow, she's powerful. Respect." and "I'm going to hate her when I ever manage to even get to her." This was indeed true until that fateful day when I managed to clear Phantasm for the very first time. Since I already knew a thing or two about her by that time, my first words were: "Thank you, Yukari-sama, for letting me win." From then on to the present day, she has become and remained my unshakably number 1 favorite character of the series. Her power, personality, wisdom and beauty... I love every bit about her.
My attitude has also changed about the Flower Master of Four Seasons. I used to dislike Yuuka, but over the course of time, she has climbed up all the way to my top 5.
All in all, my current list could be summed up as follows: 1. Yukari, 2. Yuyuko, 3. Reimu, 4. Sakuya, 5. Yuuka, 6. Youmu, 7. Patchouli, ...and everyone else.