I mostly just choose a random character in Melee. When playing competitively (ie. against my one and only arch-nemesis), I tend to use Mr. Game&Watch, because he's the best damn character ever.
I'll probably keep with the same tradition when Brawl comes out, but possibly have to look for a new favorite if Mr. G&W doesn't make it. So far Meta Knight and Pokeyman Trainer look interesting.