I always loved May. I really liked watching her character develop, and I liked seeing the female character actually do something for once. I don't have anything against Misty, in fact, she's my second choice, but she never really did much over the course of the series and her Pokemon team and goal were never handled well, but i really enjoyed seeing her show off her skills when she did (like in the whirl cup). i was hoping to see her psyduck finally evolve into a golduck near the end of her run, and her horsea into a seadra and then kingdra, but that never happened :(
Dawn is in last place for me. She's just always so happy. The group dynamics in the original series and Hoenn were much better than the ones in Sinnoh, and I felt Dawn's character suffered from her storyline being a rehash of May's, albeit ending up not as well-developed as her. May changed a lot over the series, while Dawn never really did. She just gained experience, but never changed much as a character. Overall, I can't really judge Iris since she hasn't been in many episodes yet, but i am really starting to like her.
So overall;
1- May
2- Misty
3- Dawn
Undecided- Iris (once BW has hit episode 40 - 45 or so I'll have a final opinion on her)