AJ - Twilight Sparkle or Fluttershy. It depends on the topic. AJ respects their knowledge. None of the ponies are really a good choice to give AJ life advice. AJ is sensible enough without them. Maybe she could talk to Rainbow, then do the opposite of whatever Rainbow says.
Rainbow Dash - I don't know if Rainbow would be okay turning to AJ. Rainbow sees her as a competitor in some aspects. This might make it difficult. She might talk to Fluttershy, because Rainbow has a personality where she probably wants less advice and more somepony to just tell her what she wants to hear, and she can bully Fluttershy into doing that. Rainbow learns by screwing up, not from her friends.
Fluttershy - I know Rarity seems like the obvious choice here, but I'm feeling Pinkie for some reason. Pinkie can help Fluttershy with a lot of her problems; she's outgoing and fearless. Pinkie has proven to be able to keep things on the downlow as well, and Flutters might be smart enough to see how good a choice she'd be.
Rarity - Rarity will confide in whoever is near enough to listen to her. She isn't exactly quiet with her issues. She is clearly comfortable with Fluttershy and Twilight, and has a healthy respect for Applejack ("Why do you always have to be so good?")
Pinkie - Pinkie goes to Twilight. We've seen it before, in the Griffin Brush-Off and Baby Cakes. However, Pinkie doesn't like her flaws pointed at. In both cases, she didn't take the advice too well.
Twilight Sparkle - Someone just posted above me mentioning the Princess, but I disagree. Twilight does not
turn to Celestia, it took Spike to do that. Twilight would just talk to everyone. She isn't picky and wants all the viewpoints.
Basically, don't go to Rainbow.