I played Blue Lions first, so... nuff said. That was honestly a mistake on my part -- I should have left it for last, because it's very hard to play the other routes knowing what happens in them, once you've (I've) already developed an emotional investment in the BL arc.
I think Edelgard's an interesting character, and from what I know of her story in the other routes, I can see how she's more sympathetic in them, but I still think she's misguided and that some of her actions (even in BE route) are very hard to defend.
I am curious how my thoughts would differ if I'd played BE first, but I suspect I'd still have a preference for the other lords.