Ken or Ryu, they are the most well rounded characters. after that, probably Sagat, who is the most favored character. Once you start to learn, tackling a charge character (Guile, E-Honda, Blanka.) is good to learn Defense and countering.
more advanced characters are C.Viper and Gouki. they seem like they "suck" to beginners, but once you've mastered them they are very good.
I am talking about the original SF4, I haven't had a chance to play with the newest characters =/