In order from favorite to least favorite:
Galleon
Frigate
Sloop/Brig
For the record, I don't dislike any of these at all. They all have their own little interesting quirks that I like about them, but I put the galleon first because it has decent enough armor to fight, and enough room for plenty of loot, which was usually what I wanted when sailing. Plus, once I had a good crew, I really didn't notice much damage difference between the Frigate and the Galleon.
The Frigate was best for when I was sailing and shooting ships alone, because most of the time it would take me longer to get a ton of loot without those extra broadsides.
The Brig... imo, it doesn't really fit unless you just literally do not know what you'll end up doing when you set sail, or you plan on doing many different things without switching ships. I never ended up using it very much, but I hope to find something it's good at. (For example, it's my first alpha ship because I don't know what they are adding next in regards to sailing.)
The Sloop is the perfect little ship for getting somewhere quickly and taking down reeeaaally slow opponents. It just never struck my fancy since it lacked a large amount of cannons and cargo space.
Sorry about the long post...
tl;dr. Like 'em all, prefer a lot of cargo space.