Are you playing with the full 7 stones? If you are, go with Ayane. Get the stones, get in the air, and do her special where she throws a whole bunch of shuriken out in all directions (the one that homes in on people). If you do it twice in a row, it'll generally stun the other guys long enough for her to run around, grab all the stones again, and do it again(provided you can find a 3rd stone).
Gourmand is another good choice. His air butt stomp is awesome, he's got insane range on his attacks, and he can throw stuff really far. Plus his transformed version is a beast-jumping fire spit is nice, and the stew....oh, the stew. The stew rocks hard as a last move to do before you change back.
You may also want to consider Rouge. Her transformed version is also pretty strong, since she has a move good for clearly people out, the yoga fire, and what I call sinistar, with the giant fire breathing head. Her normal version is pretty good too, and she's got one hell of a vertical leap.
If you need any more help, let me know. My buddies and I used to play this game for hours every weekend, so I know it pretty well.

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