I'll order them from most to least favorite
Corvo is very nostalgic in the 2nd game. And after playing Dishinored 1 and 2 like 14 times each you really feel for his emotions and how he feels, if you look into his background then it become almost an emotional connection. Corvo will forever be my favorite
Daud may be the bad guy, but he isnt so bad if you've played the DLCs. He had a tough childhood and did what he had to in order to survive, everything he did he eventually realized was leading him to an end he couldnt control, and when he saw that Corvo, the man whose wife and Empress he killed, was now the judge on his fate, he was alright with it, he had his redemption with saving Emily from Delilah.
Emily is a good character, quite optimistic but being young as she is that's expected. Her powers were interesting, although far reach is.... not blink. Playing as her over Corvo, it feels like a different character regardless of powers.
Billie has always been the least favorite it seems among many players, I see why. We never got too much backstory about her and After the knife of Dunwall she disappeared. Yeah she was in Dishonored 2 but basically served the same role as Samuel, then in Death of the Outsider her being the main character was kind of random, Emily was somewhat expected in a way but Billie kind of just came up and said "hey I'm here", she was a new character and casual players didnt have much backstory on her and not much emotional compatibility with her so it made her not so much of a favorite