The earliest favourite Pokemon would have been probably Psyduck. I remember I got a bouncing Psyduck ball because I loved it so much (I had ducks as a kid after that time, so I don't know how that works out). Ooh and I used to like Staryu! I recall I also liked Jigglypuff for some reason, too. I used to like Tauros (due to starsign), not sure what else... oh! I used to like Jolteon because in my brain I used to think there was a Pokemon called "EeveeJolteon".
Hmm... I used to love Cyndaquil, Chikorita and Totodile, I can't remember a favourite out of them... and omg, I hated spiders but I loved Spinarak. I've always liked Bellossom cause it's adorable. I used to also like Corsola and Mantine for some reason. Oh, and Ho-Oh/Lugia I used to love. And out of the three "dogs", my favourite used to be Suicune. Umm, then when R/S came out, I realised I loved Torchic (Oh and I forgot to mention I loved Butterfree too). Umm... Swablu too. Azurill and Skitty are also included though Skitty sort of didn't last long.
Now my favourites (iirc and not in order) are Torchic, Cyndaquil, Entei, Chikorita, Totodile, Chansey, Cubone, Kangaskan, Azurill, Psyduck, Bellossom, (out of my gen 5 favourites, I only have a few favourites I see lasting long-term), Chiramii and maybe Koromori, Shikijika and... maybe the swan, too. I have other gen 5 favourites but I dunno if they'll still be favourites in many years. Oh and Staryu is becoming a favourite again, too.
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So, to conclude. My first favourite I can remember was Psyduck, now it's Torchic though I'm unsure if that'll stay my main favourite forever.