Celestia has always held a special spot amongst princesses.
She's the brightest star in the sky, face of Equestria, something that holds immense responsibility, yet she's also just a pony like all others.
She shows this by being tough when needed, but still compassionate and kind. To be able to hold such a position for more than a thousand years, it not just becomes a responsibility but also great burdens.
Out of the princesses, she's probably the one I find most interesting.