My favorite ponies are Sugarberry and Rapunzel, but I wouldn't choose either because unicorns are my favorite pony form and they have magical powers. In my world they can even fly.
So...I would choose Windy. She was one of my first ponies, has a cool glitter symbol, is a cool color, and has rainbow hair. I always imagined she could magically fly faster than most unicorns because of her name: Windy, thus she flies as fast as the wind.