When you get to the character select screen, you have the option of choosing from 37 available characters. However, Brawl is a game of multiple variables and often times unpredictable tactics. That being the case, despite the game designers best intentions for a well balanced games, all characters are not created equal.
However, with limited knowledge of the game, generally people appeal to how much they like to play a character rather than objectively evaluating the tools the character possesses in order to win. An organization known as the "Brawl Back Room", which is compromised of highly reputable members of the competitive Super Smash Bros Brawl community, puts out a Tier List where they attempt to objectively rank the characters based on how good they are for competitive play.
The following is Tier List v6 for Brawl. The characters are ranked from best to worst:
S: Meta Knight
A: Diddy Kong, Snake, Falco
B: Marth, Wario, Ice Climbers, Olimar, Pikachu
C: Lucario, King Dedede, Zero Suit Samus, Mr. Game & Watch, Toon Link
D: Fox, Wolf, Peach
E: Donkey Kong, Kirby, R.O.B., Pit, Sonic
F: Ike, Luigi, Sheik, Ness, Yoshi, Pokémon Trainer
G: Lucas, Mario, Bowser, Samus, Captain Falcon
H: Link, Jigglypuff, Zelda, Ganondorf
Keep in mind that this list is supposed to indicate the highest level of play. This shouldn't discourage you from playing the lower tiered characters, but choosing one acknowledges that you are essentially playing from a disadvantage from the beginning.
It should also be noted that characters have different strengths and weaknesses and player ability does matter. Players have success with nearly every character on the list, but the further down the list you go, the more difficult competing becomes at high levels of play.
At the end of the day, the choice of your character is yours to make. Just remember to choose wisely.
Keep Chasing It,