My favorite character is Marisa, but I actually identify more with Reimu.
I've had a privileged life, not lavish or anything, but throughout my childhood and adulthood things just went really smoothly for me. Middle school and high school were fine, got out of college without too much difficulty, got into a good job, got promoted at said job, each step has just felt awkwardly successful.
There might be impostor syndrome/perfectionism in there somewhere, but I'll disregard that.
Which reminds me of Reimu, who's naturally talented, "coasting" through life as it is, but somewhat lazy and a bit aimless. So I identify with her a lot.