Even though I like the Blue Falcon and Captain Falcon, my vehicle of choice is the Fire Stingray. It's pretty sturdy, and has the best cornering, in my opinion.
The Golden Fox was my favorite for the longest time. I loved that initial burst to get into first place and I would stay there. But once I started to try to tackle the harder difficulties it just couldn't compete with the top speed of the others. So I've generally used the Blue Falcon since. But I still go back to that Golden Fox whenever I just want to play a bit.