Raphael is the strongest in terms of pure strength, but he's quick to let his anger and rage blind him. He was given a more defensive weapon, the sais to teach him to not rely on his strength alone.
Donatello is physically the weakest, but clearly the smartest. His bo staff was given to him to help train his strength due to the weapon's simplicity while also allowing him its versatility.
Michaelangelo has the most raw talent and ability. He could be the best turtle, but is greatly prevented with his lack of focus and concentration. The nunchaku, the most technical weapon of the four, is there to hone that focus and concentration.
Leonardo is the most balanced. He's not the strongest nor the smartest, but he's the most level-headed. Thus he was given the katanas and made the leader.
So while they are all good in their own right, Mikey is my favorite. Can't say specifically why, just is.