Well, my favorite character ir Raphael. He's a good balance of speed and power for me, and he has auto-evading goodness. Weapon wise, I usually use the Queen's Guard, since its quite strong, though it annoys me to no end against an enemy that constantly blocks or side steps any attempts at a guard break, since the life drain can do damage if you can't.
My best unlockable character is Seung Mina. I dunno why, I just seem to do okay with her, plus I like her design.
I think the exclusive characters are the stupidest idea any game company ever pulled out of their a**. Link and Spawn and whats-his-name don't belong in the SC world, they're just cheap marketing ploys to attract swarming fanboys and girls, and its just sad how many people go around saying they only play those characters. Sheesh, they could have at least put in characters that fit, not some modern day demonic thing, an old guy, and a fairy. stare