I chose Heihachi because I've played him in every Tekken installment I owned. Just wish he had his Tekken 3 look with the business suit w/ coat and all, but whatevah...
He does have that outfit, I guess you had to pre-order to get it. I use it and change the color scheme to a black coat with white fur around the neck area.
My two mains are Heihachi and Colonel Radec.
Out of the series on here I'm probably the biggest fan of Tekken because of Tekken Tag Tournament and SFxT. I also like playing with a close range karate fighter who can charge like a dbz character. Though I very rarely use it, Heihachi's level 3 is pretty kool too. Also, since he has his bear and bowling pin, he get's rounded out pretty good and winds up being pretty usable.
I first picked Radec because he was pretty much the exact opposite of Heihachi since he's an extremely ranged character, and I figured I could best piece together how the game works since I knew for awhile I'd only have time for two characters. He's really interesting also though because it's almost like playing a Time Splitters or Red Faction character in a Smash Bros type game.
More then likely I'll eventually have time for a third character, and I'll probably pick up Dante since he seems to be a pretty balanced mix of ranged and close combat. Then there's also the fact that it will kind of be like playing a Gunz the Duel character in a Smash Bros type game.