The favorite is the selection with the lowest odds, because the market rates it the most likely to win. Short odds mean a smaller profit when it wins, and long odds on an underdog mean a bigger profit but a lower chance. Favorites lose often enough that backing them is not a safe strategy. A well known bias is that bookmaker margins can be larger on long shots, which affects how fair the prices are. Outside the US, the spelling is favourite.
Example
A team priced at decimal 1.40 has an implied probability of about 71%. The underdog at 3.20 has an implied probability of about 31%. Together they add to more than 100%, the extra being the margin.