Picking your choice of Smash game is a different question from picking a main character to play. Whether it's Smash Wii U or Melee, choosing your main is the first step in progressing and learning the game at a deeper level. There will be love, there will be losses, and if you picked your main correctly, there will be acceptance.
The television flashes and a character select screen greets you, every character portrait vies for your cursor's attention. What do you do? Play anyone, play everyone who interests you, just play. Once you have stumbled around enough, you can start your search with playstyle.
Do heavier, powerful characters strike you more than agile ones? Are you an offensive type of player, throwing out hitboxes like no tomorrow, or are you a defensive player who waits for an opening grab?
The first step to finding a main is to understand how you want to play the game, and no one can teach you that but yourself.
2. Character Toolset
Find the characters that give you a feeling of something to be learned. There are plenty of fast characters in Melee to pick from: Fox, Captain Falcon, Sheik. However, each of their movesets play like night and day. Captain Falcon tries to "read" opponents more often with his knee, while Sheik chokes out options from opponents trying to get away.
The next step to choosing your main is moving from how you want to play the game to learning how your character plays the game.
1. Do You Want To Win?
At this point, one or two characters shine above the rest. Not only do they fit your style, you have come to understand how they play as well.
Whatever your niche is, the next question is: Do you want to win?
If you do, consider a character's viability in the competitive scene, their tier placement, and your own evaluation of the character's potential.
However, if you stay true and forgive your character for their losses, then by all means, stay faithful to your main. In the end, a main is a choice, a preference, and extension of yourself.