A listing of my favorite characters and why-
Dio Brando: Dio is one of the coolest villains ever, so playing as him is a real treat. His fighting stance just radiates awesome, and I love how he glides around as he runs. Calling out THE WORLD to kick ass is pretty appealing as well. His special moves are pretty strong, and damn, it's just plain fun using the ROAD ROLLER on just about anyone. And he has a regular move where he sucks blood and it restores health, pretty handy.
Dr. Mashirito: A pretty wacky and fun comedy villain to use, I just love seeing him in action. I love his battle stance, and his running is hilarious. Plus his moves are crazy as hell (giant robot laser beam, lightning telephone, walking poop). He increased my interest in Dr. Slump by like 20 fold.
Piccolo: My favorite DBZ main character, an all around awesome character. He has a lot of unique and useful moves, and I like how his Masanko-whatever hits everyone standing in a line.
Ichigo: I always thought he was a pretty badass main character, and he has a lot of cool and powerful moves. His bankai form is awesome.
Sanji: My favorite playable Strawhat in the game, he has pretty much all of his cool kicking moves. I love his combo in the 5 koma form, and he has a projectile where his shoe flies off his foot! Just fun to use, I think, and he's pretty fast.
Ryotsu: His goofiness reminds me of myself, really, and his moves crack me up. Not to mention, his tank move is possibly one of the directly strongest supers in the game. I just like running around with him, and smacking people with newspapers and crap out of rage.
Kakashi: I usually use him to balance out my teams, but he's a pretty strong character. His dog moves kick ass.
Kenshin: A really powerful character and fu nto use, for some reason I can't explain.
Gotenks: Pure awesome, and pretty strong.
Jotaro: ORARARARARARARARARA!
Bo-bobo: Has pretty wacky and awesome supers, and is pretty strong. What's there to not like?