Link is....really bad.
I'm probably best with Ness or Donkey Kong. Though I always have Minon around to keep me from getting too bigheaded.
(though I'm best with those two, my usual Brawl pattern goes Ness, Dedede, Donkey Kong, Yoshi, Kirby, Wolf, Jigglypuff, Link (got Link through rule of random. He still sucks though))