I don't know, I really like having everyone from the start. I can instantly try all of the characters to see who fits my playstyle best, without having to play through the game with a character I don't like several times to unlock who I really want to main.
Maybe if it's the Final Boss character in playable form. That's about the only situation I can think of that wouldn't be just annoying. I enjoyed unlocking alternate costumes and stuff for existing characters, though. Maybe some character costumes like Daisy in Smash Bros.?
"The best things in life must be taken... by force!" ~Captain Khan