Sonic has always been my favorite character, though in terms of gameplay, Super Mario Galaxy has killed, buried, and desecrated the grave of anything Sonic Team has put out in their 3D forays. I did like the Adventures and some of Heroes, but they just pale in comparison to Mario's leap into 3D (minus the pun of a jumping plumber.) Back in the classics, though, I love Sonic side-scrollers so much more than the Mario counterparts.
And in Brawl, I foresee Sonic being a main of mine, even rivaling my love for Kirby, and leaving Luigi in the dust.
And in the series themselves, Sonic and Mario aren't my favorites.
Sonic: (old) Knuckles, Dr. Ivo Robotnik, (old) Tails and Shadow (Hmm... Where would anyone get that idea...?)
Mario: Luigi, Toad, Bowser, and Yoshi
So, Sonic wins by nostalgia. And Sonic Rush. Though Blaze is just dumb. And stupid ideas like Big make it a very close match.