Sonic has been my favorite for years. He's always living life to the fullest with no regrets and beaming in confidence. Playing his games cheered me up more times than I can count.
Mario, because even though new Mario games are usually just 'more of the same', at least my first thought about them isn't "I wonder how astonishingly awful this one is going to be".
Sonic is cinematic and has a brilliant OST and is too charming, but honestly going fast in the 2D games made you slam into something immediately and the 3D games are fine.
But it's much more satisfying to speedrun mario, I prefer the better platforming, and I severely prefer the gameplay.
As a character I think Sonic is cooler than Mario. Having grown up with Sonic games my entire life I have to vote for Sonic game-wise too. The recent games haven't been so great, but I've enjoyed so many of the old games. Both Mario and Sonic are great. Sonic has my vote though.