I´d say, "Please could you do me a favor?" I think it sounds more natural, because i´ve had that doubt like you as well.

Better than the second is: Can I ask a favor of you? This and the first are both natural and correct, with similar meanings.

It may theoretically be correct either way, but in contemporary English everyone uses the preposition "for". This is the phrasal verb, "to ask for" (pedir). Without "for", it is just "to ask" (preguntar).

There may be regional differences because here I would say can I ask you for a favour

Can I ask you a favour? Or if you want to ask it more politely, you can say: Could I ask you to do me a favour, please?