I know he's bad but..

     He has all the coolest movement options -- long wavedashes, a good moonwalk, and a godly teleport. Invisible air dodges are also pretty sweet. (By the way, did you guys know jump + instant air dodge up is just enough to get onto the Battlefield platforms? Not that useful, but an interesting mixup if you've been teleporting a lot since they look similar.) The dash dance is pretty bad though. 

I also love his huge recovery. If you're smart about your double jump, it makes it so you can stay offstage for a long time while edgeguarding or evading someone's edgeguard. 

All his aerials (except dair maybe) just feel so crisp too. And the smashes. And then he's got the powerful throws...

I use sheik a bit too, but I like mewtwo better. Is that bad?

[Edit]   I think I like Roy

I started playing as Roy and I really like his playstyle. Due to his sweet spot being at the hilt of his blade, it encourages you to be in the opponent's face and that's something I tend to do. Roy makes it easier to fight up close unlike my current main, Mewtwo.