If you can (as in if you have the time to devote to this game), the recommendation of trying each character in Challenge Mode for 3-4 missions and beating Arcade Mode with them is a pretty solid option. Not only will it give you a good idea of which characters you like and which you don't, it'll help give you a feel for the basic tools each character has at their disposal, so you'll have a bit of an idea as to what to expect later on. Noel is a good choice, and so is Ragna.