Warning: An actual on topic comment is approaching. :P
1. At least Mario is DECENT ENOUGH to wear clothes. Some characters in the Mario Universe do not, but not EVERY SINGLE ONE refuses to wear clothes.
2. Mario is not trying to be cooler then Sonic. Sonic comes out, advertising how "Cool!" he is. If anything, Mario is cooler then Sonic.
3. Sickening cross-species romance that does not let go, at least the Mario games do not continually announce Bowser's issues the entire game.
This fails on all three accounts. First of all, you undid reason number one yourself, because as you stated, some mario characters do not wear clothes. Besides, Sonic is an animal, and animals naturally do not wear clothes. Mario wears clothes because he's a human, and humans are expected to wear clothes in public. Why is this so hard to understand? One other thing: not all sonic characters go around without clothes - look at Amy, Cream, and Eggman.
Reason number two is not Sonics fault. Sonic doesn't constantly go around saying that he's cooler than Mario; it was the Sega marketing reps. that said that in all the obnoxious commercials in the 90's. True, Sonic's generally a cocky character, but that's only been more pronounced in the modern incarnation of Sonic - which we all can agree isn't as cool as classic Sonic.
And number three isn't much of a problem when you consider that most species in the Sonic games look very similar. You're also wrong about Bowser and Peach - in Super Paper Mario, Bowser constantly tried to hit on Peach, and they even got temporarily married, for crying out loud! And don't forget that the Mario series has something that the Sonic series doesn't - gender confused characters and same-sex romance! (At least possibly in Mario and Luigi Superstar Saga)
Anyway, Sonic is cool with me. His games are unique, and even the 3-D games don't try to copy Mario's adventures like certain other cartoon mascots... *coughcrashcough*