I have 6 characters divided evenly between alliances (2 in each) but not all in their racial alliance:
- Breton and khajiit in DC
- Argonian and bosmer in EP
- Imperial and dunmer in AD
I make my characters in a slightly round-about way, starting with a concept which is as likely to be an element of their backstory or personality as something that's actually part of the game like their race or class. Then I match everything else to that.
For example my Imperial is a dedicated crafter who spends most of his time in town, but I knew he'd have to have travel around to get skill points so he'd need some combat skills. I tried to imagine what kind of person would fit that description and came up with a young kid who is supposed to be training to be a crafter but has aspirations of being an adventurer instead, or a retired adventurer/soldier who took up crafting after he got sick of fighting for a living. The second one was more interesting to me, so I made him a older guy with a lot of scars and an eye patch and settled him in Auridon because it seemed like he'd want to retire somewhere quiet and pretty and far from the war.
Sometimes, when it doesn't really matter, I have picked an alliance to balance out the others. For example my bosmer I just wanted to start anywhere except AD and at the time I had 2 DC characters and 1 EP, so I put him in EP.
(Edit to add: I don't have a favourite alliance. Some of my characters feel strongly about it but I think they're all as good and as bad as each other and I'm kind of relieved to know none of them really win in the end.)