Even though you said not by games....
I'll admit that Sonic was pretty awesome in the early 90s, even if all 3 of the games had the same basic engine. Super Mario World was pretty great too, though, so it's a difficult choice for me. Then Mario 64 happened and so many more awesome things, while Sonic just kinda went downhill for a few years.
Personally, I think they've been milking Sonic for a little too long, but lately it's been doing much, much better, with Generations and Colours and all that nonsense.
On the other hand, Mario has craptons of spin-offs, too, even if they're mostly better than Sonic's, but Galaxy + 2 and 3D Land were just great and amazing and asdgfds
As for their characters, Sonic sometimes annoys me to no end even if he means good, but Mario's personality changes quite a bit, so that also gets a bit annoying.
Hmm. Saving a land and its princess from the clutches of an evil dragon turtle, or saving a lot of little woodland animals from an obese mad scientist....
Holy jeez, I could just write a whole essay and go on for pages about this. But anyway, tl;dr they're both cool. Mario's just my favourite because I enjoy his games a bit more than Sonic.