Falco because he's quick and nimble. The martial arts moves are a plus. But mostly I like him because I've been anxiously awaiting his GameCube debut, and to this day I have not seen a better Falco model (that's right, I don't like the Falco in SFAdventures or SFAssault).
Before that, I went with Sheik, again for the "quick and nimble" reason. And before that, I went for... um... I forget. Back with the first Smash Bros. I went for Yoshi or Link.
Why I continue to try to save the world, I shall never know.