Peach is always an adventure. She is constantly getting kidnapped, but at least in some of the games since Paper Mario (not sure if sooner), she has always shown signs of being rather mischievous and messing with Bowser in an effort to help Mario. It makes it sort of fun to think about how in the world she ended up getting the 1-Up Mushrooms and mail them to Mario throughout the Galaxy games.
Rosalina hasn't had a lot of screen time, but at least she was given a well-established backstory, which is more than can be said of most characters in the Mario universe. Still, as a character, she is essentially just a magical Peach. That is, she's the innocent girl who acts as somewhat of a motherly and/or leader figure. Basically, Peach if Peach was some magical space goddess that lost every ounce of mischief she had.
Zelda is, well, Zelda. She knows how to be a badass, and there are even times where she seems to be relatively in control of things despite being a damsel in distress (e.g. Twilight Princess). She's got significantly more character than either Peach or Rosalina, and she also seems to have a little more flexibility in what Nintendo will allow her to do from game to game.
Overall, I would probably go with Zelda. I just find her a more relatable character. After that, it is sort of hard. Rosalina actually has an interesting (albeit childish) backstory, and Peach is just...yeah, like I said, she's clearly doing stuff behind the scene. I think I'll go with Peach as a close second, just because what I can imagine she's doing is far better than what I know Rosalina is doing. She also apparently makes really good cake [https://www.youtube.com/watch?v=XI-As7yvaW4], and I like playing with her in Smash Bros. more than Rosalina.