Strange.. Nobody has mentioned Mewtwo..
My fave is Mewtwo.. He's fast enough, very powerful, a great jumper, has some great smah/aerial and the best throw in the game!
I like Zelda, too..
I have come back to this game now.. I haven't played it for half a year, but now I am trying to complete it with every character on hard difficulty..
Unfortunately, none of my friends are any good at this game.. I can only play against the computer, which tend to get borring.. For warm-up I play Event 51 - With Mewtwo.. I've completed it in less then 2.30 !! (minutes, of course..)
My fave level is Final Destination without items.. Pure skills are needed.. no luck.. nothing..
I hate to play with or against Luigi, since he's unpredictable..