Well, at least in Italy the most loved is without any doubt Roberto Baggio.

There are many reasons according to me:

He played for all the most three important teams (Inter, Juventus, Milan), so the usual fights between those fan’s teams are no reasons to exists. He is a symbol for all of them.
He had the humility to go and play in “little” teams like Bologna and Brescia, even if in Brescia he played together with “to-be world champions” like Pirlo and Toni and Guardiola choose to go there simply to play with him.