it's hard for me to pick a favorite persona game out of the four i've played since they all are very well made and amazing in their own right. people tend to exacerbate the flaws of each one, when really none of them are really "bad" at all
that said, i think persona 5 royal and persona 3 reload will always have a stronger emotional impact on me. the royal was my first persona game, and i recently replayed it. the ending and especially the credits are amazing and beautiful. i finished persona 3 reload in january, and it really lived up to the hype i had been hearing about since 2020. though royal was my first, reload almost brought me to tears. i already knew how it ended, but it is a completely difference experience when you go through it for yourself
my favorites from each game (without naming protagonists) would be junpei, chidori, shinjiro, and ryoji ; ai, adachi, and naoto ; akechi, maruki, haru, and yusuke
All ended well. There was nothing to be sad about.