There's really three ways to approach this: Picking a character you like, picking a character that's effective, and picking a character that's easy for you to use.
If you wanna pick a character that you like, I'd recommend playing through story mode to get a sense for each of the characters. This accomplishes two things: First of all, you get a general sense of how to move with the character and how they work (basically the same as practice mode too, story mode's difficulty is a joke). Second of all, you get to know the character, their past, their motivations, and decide for yourself whether or not you like them and want to play as them.
This is probably the best way for newer players to go about it. You end up learning someone you want to learn and enjoy playing for reasons beyond winning, which can be just as important as winning. Remember, BlazBlue is still a GAME at its core, and if you forget to have fun then you aren't doing it right.
If you want to pick up a character who's just really effective, play Bang or Litchi. I won't get into why right here, there's a really good character analysis thread floating around that can give you the complete list of reasons. Essentially, just be a tier whore.
This is probably the hardest path to go down though. The problem with going straight into the god tier characters is the same problem you get when putting an amateur driver in a race car, you don't know what to do with all that power.
Finally, if you want to pick a character that's easy for you to play, I'd recommend going into Challenge Mode (for CS), or lookup combos (CT) for each character and try them out.
If you're doing challenge mode, then just run through it as far as you can for each character until you hit a major roadblock. Nine times out of ten, if you're a newer player, you won't be able to get past anyone's third challenge except for one or two characters that you were just DETERMINED to get past that point with. Pick one of these characters. This is how I came to pain Lambda.
This last method is about the middle ground point. It's a good place to start if you're kind of experienced at fighter games and kind of already know what you want out of a character.
For the most part though, the best advice I can give on picking a main is to just... play the game. Eventually you'll get to the point where one character just feels better than the rest, and that might even change as you get better (it did for me several times). Good luck!
