I'd say Latios is probably my favourite, though generally I like both of them. I never actually caught either, though I could have easily done so had I actually known they were legendaries. Basically, some time after having beaten the Elite 4 and realising that this allowed for me to catch Rayquaza, I was making my way towards the Sky Pillar to catch it. Along the way I encountered Latios however, but decided just to run for it, as I thought it was just a wild Pokemon, since legendaries are typically stationary, and I was kinda focused on another one at the time. It wasn't until a friend asked when I'd found Latios and pointed out to me that it was legendary that I realised. The worst thing about it all was that I still had the Master Ball and could have easily caught it without having to chase it all around the region, but at the time I had no idea that I could even encounter it again anyways, so I thought I'd just completely missed my chance :p
But yeah, I'd say Latios is my favourite by a slight bit, partly because it's the only one of the two I've actually ever seen in-game, and partly also due to its role in the movie. Latias was cute and all, but I prefer how heroic Latios was to that :D