My first pass is always aesthetics. I dislike trolly characters (Teddie, Dan, Dampierre) and detest the beefcake-bulging-muscles-bushy-eyebrows-angry-dude stereotype (Jin, Ryu-- actually most of the cast in SF4 has arms wider than their heads, sadly). I like pretty girls, swords, ninja's. Goes for their moves too, i like stuff that looks zippy.
Then i just take the chosen few for a spin in training mode. I don't like/am awful at rushdown and play defensively, so i typically want some way to engage the RTSD players from outside of their threat range. Long pokes, fireballs, or some special movement mode that lets me pop in and out.
Then i usually want someone who's not too hard to play since my execution sucks and my brain's busy trying to anticipate the opponent.
Lastly i might disqualify characters that are too garbage tier. I've been playing shitty characters for too long now, and the fun wears off. =/
I'll usually make aesthetic sacrifices for gameplay reasons. I typically end with some character that doesn't look too horrible but feels like it fits me and feels nice to play.