We also feel quite strongly bonded to Our Lady of Guadalupe. No issues there!
Well, that's the other main possibility, if we don't think it's a genuine apparition of Our Lady. I hesitate to go with that, because I've known good, devout people who believe the Garabandal apparitions are legitimate. I'm similarly conflicted about Medjugorje: I know people who have received tremendous grace there, but that's not proof of the authenticity of the apparition, because God's grace is available everywhere!
I'm not familiar with Padre Pio's view on Garabandal, but he surely would advise caution, in the absence of approval from the legitimate authorities. We can't go wrong with Sacred Tradition: the Scriptures and the Magisterium. With any other source, we can go wrong, even with the best of intentions.