Primarina's my favourite, but really I just love the whole line and how it develops. The story of a diligent performing sea lion working its way up to the top through different types of performers is great. It means each stage has its own identity but the line as a whole feels strongly connected, with a very relatable start that makes you wanna stay on Popplio's side and an immensely satisfying conclusion in Primarina. The mermaid concept is brilliant; it's something you won't see coming, but ties in so well with both the performer and sea lion aspect that in retrospect it took me by surprise how obvious of an outcome it really is.
I love the ambiguity of the design. it's cute and refreshing to see a starter become prettier as it evolves, but this turns out to be a bit grim once you understand it's just a way to get attention and attack the naive people who fell for the trick, alluding both to mermaid mythology and the desire for attention of circus sea lions. This notion is reflected in the design as well with the pearl-looking bubbles that seemingly only serve to make the design pretty until Primarina's signature move uses them as weapons. I'm also a big fan of the fact that the clown nose is kept throughout the whole line because that alone adds a lot of goofyness to each stage.
So yeah, it's my favourite because, to me, it's a design that does it all. It can be beautiful, eerie or goofy, and most of all it's open to so many different interpretations that I never get bored of thinking about it. So, in my experience, a favourite isn't really something you "pick", but something that "happens" to you.
I'm sure everyone had that experience with at least one videogame/movie/book.