I've played the N64 version the most, followed by Melee. Brawl I've only had limited experience with, as I never had it.
I forgot how I progressed, but I was one of the few who always hated Kirby regardless of how seemingly-overpowered he was. I was excellent with Fox, Captain Falcon, and Link (Once you get his bomb-throwing down, he's dangerous from all angles). Eventually I started getting better with Samus (especially with her flamethrower move (I think it's a jump, move left or right non-smash, then press A)). Honestly, I think it was easier to balance without so many other characters, but even Luigi was good if you could consistently get close enough for his up+b to do the full 25 damage. By the end everyone was usable, but I still feel weakest with Ness and Donkey Kong. Yoshi was a strange case - I loved playing him and his jump+down+a (the paddle-wheel multi-kick) would do like 40-50% damage if you could get the whole thing on someone (especially good vs. Master Hand), and his eggs were a great skill-shot. However, he really didn't have a up+b that helped him jump, so if you lost control of your character in mid-air, he didn't really have any way to recover.
In Melee, Fox, Marth, and Sheik were seriously the only competitive characters with wavedashing, and Fox was probably my best. He remained pretty much unchanged from the N64 version other than the addition of his left/right+B and his blaster not doing knockback (or having recoil, or firing faster in the air) However, he was definitely the character I attached myself to once I decided I wanted to actually do well.
Brawl, well, I've only played the game two or three times and mostly consist of me trying the new characters and the ridiculous final-smashes, so...I'd hate to say I have a favorite character there.
