I always get the Extra HP perk for Montana. He's a good wall, and his dash makes it easy for him to run so he can get back health. Or ram someone into a wall, for a long-ish stuff. I wish he had a more interesting secondary attack (It just spins the gattling), but choosing between fire or ice bullets feels good.
This game seems like it will be a bomba but man some of the characters are hard to use. I just use the woman with the demon on her back. How the balls do you use that character?
Shayne and Aurox? For me, it's all about the tick damage while invisible as the first ability choice. Her secondary attack is a boomerang blade throw, that lets her pick at minions and players at a distance. Another Fav level for me is the one that lets the booomerblade bounce between enemies when thrown. Feels like it helps contribute to wave clearing substantially.
If you hand behind a tank or wave, use the 2nd ability (The Aurox pull) to grab an overaggressive person, and pull them in near your group. It will scare them quite a lot, and possibly secure a kill.
She seems to have good run speed, fairly decent defense. Just try to be patient and gain some levels before you start going totally crazy with her. She's not as frail as I thought she'd be, and Explosion-punching people just feels great overall.
Also, keep in mind that your default melee attack (the one shared by all characters)pushes people back a bit. So when you're invisible near a person, start punching them into a corner, and then use your primary attack to do more damage once they're in a hard to escape corner.