This is a overview about the experiences i´ve made in my playthroughs.
I hope it´ll be a bit of help for you :-)

Before I talk about the characters, I want to give you a WARNING: Some of the heroes can only be obtained, when you have played through the game on a specific difficulty. So far, so good. But if you change the name of your girlfriend in the beginning of a run, the game seems to mess up your unlocked characters.
E.g. when you have rescued girlfriend A in hard mode and start a new game after that, you will have access to Cosmor. But the heroes you've already unlocked by rescuing girlfriend B in normal or easy mode won't be available. If you want to start a game with a character from normal or easy mode, you will have to load your appropriate save file and beat the boss again. But then you can't choose Cosmor anymore...

This section lists characters, who mainly fight with melee weapons. When you´re creating your party, don´t forget about your main character. He´s a fighter, too.

Cosmor
You can get him by playing through hard mode. I only played to stage 6 with him (got the 200 kills achievement in stage 4). So far, he seems to be overpowered. His melee damage is really good AND he´s got very powerful, but expensive offensive spells. In addition, he has spells to get rid of some annoying debuffs (in and outside combat). Also, he´s able to revive AND fully heal a party member with a single, expensive spell (in and outside combat). At the end of stage 5, he learns a skill which causes a lot of debuffs on one enemy (including blocked and doomed) - for only 5 SP. Equip him with an item which restores SP.
So far - Recommended!

John
He hits hard and has plenty of hitpoints. He has a skill that hits a boss 3 times, also some skills that deal (mediocre in later stages) damage to all enemies. Can use the best melee and ranged weapons. Can also clear some debuffs (useful out of combat). Try to increase his speed with stars or a first-strike-item - then he can act before the enemies he defeats can hit you.
Recommended! - but keep in mind, that melee attacks aren´t that powerful in harder gamemodes.

Ralph
As an allrounder, he´s a good fourth gang member. Can´t use the strongest weapons, but deals quite good damage with his skills. In addition, he´s got a skill which kills an enemy at once. Also capable of healing the group in-combat (~50 HP). He can also dodge attacks very well. Use him with an item which restores SP.

Laura
Yes, surprisingly she´s not a supporter. She can be obtained by playing through the game in normal mode. You can compare her to Martin. In my opinion, i would prefer her. She deals a ton of damage with her skills in the early and middle stages (knocks out all spiders). She also gains a heal similar to Ralph in the middle of the game. Her skill, which makes her indling 6 times in one turn could be useful, if you could combine it with an SP restoring item, but I didn´t test this. I chose her on easy mode, but because she uses skills, she should also be quite useful in harder gamemodes. Also use her with an item which restores SP.

Martin
Weak Attack and very frail. Can only use light weapons such as knuckles. Give him an item that regenerates his SP and use his quite good skills against large groups.


Cookie
It´s located just outside of the starting area. When you leave the starting area with only two friends, you can get it.
The frog acts on its own - you can´t control it! It is quite powerful in the beginning but useless against enemies with high defense. You can´t equip it with the most items. A good choice, when you want to save food and other consumable items. Equip it with the high-tech-bandage for triple auto regeneration. I used it to play through hardmode, but i wouldn´t recommend this to you ;-).

This section lists Characters, who bring their own gun (Lester & Al Capone Junior) and/or should use mainly guns (Phil & Snow). Of course, you could give them a melee weapon instead, if you like. Since ranged weapons do fixed damage, they are meant to be used by weak characters. Also keep in mind, that they don´t suffer the same damage penaltys in harder gamemodes as the melee weapons.

Lester
The almighty. Can be obtained by playing through the game in easy mode. He starts with his own pistol and is capable of dealing very good damage, especially in the later stages. He has also an awesome heal (heals the whole party), which can only be used in combat. The heal scales with the number of enemies in the fight. His skill "One shot" deals a ton of damage to the rearmost enemy and is therefore even capable of one-shotting bosses in the first stages. In addition, he´s got a nice (and expensive) skill to damage all enemies.
Recommended!

Al Capone Junior
Can be obtained by playing through normal mode. Comes with a 2.0 pistol.
Like John, he´s very slow. So use stars with +speed or the hyper speed item.
Also like John, he can use the big melee weapons.
He´s very useful against early - mid game bosses, because of his ~800 dmg skill. You should be aware, that this skill drains 1/4 of the HP of each of your gang members. So you need some powerful healing backup.
He can hit every enemy on the left/middle or the right side with a skill for only 13 SP. You can choose which side.
In addition, he´s got a cheap skill to kill one enemy.
Don´t use him with John - your group would get too much damage before it can act.
The lucky charm (can be found in stage 1) is a good item for him for a long time.
Recommended!

Phil
Quite similar to Snow, but in my opinion more useful. After fights, he often finds additional items like Vitamins or Paracetamol. He can sneak behind the enemy group to attack one or three guys in the background. This is quite useful to "snipe the snipers". When you choose him, you also get a discount from every store.

Snow
The only good thing about him are his crits. So i really can´t recommend him.

This section lists characters, whose purpose is mainly to assist the group - e.g.buffing, canceling debuffs, heal and using items. Since you will have to face a lot of debuffs, i would recommend to take one of those with you.

Joy
Very weak fighting skills. Has a lot of buffs&debuffs. Also has a great heal outside of combat. Can also heal a bit in combat. Useful for bossfights and clearing the unpleasant debuffs in/after fights (and therefore saving items). Use her with SP-restoring items and ranged weapons like the 4 x attack shuriken or the 9 x attack SMG.

Katia
Can be obtained by playing through the game in easy mode. More offensive skills than Joy. Able to block all enemies with an expensive spell (useful, when you´re in trouble). Can one-shot machanical enemies. Lacks the (outside combat) healing capabilities of Joy, but is able to clear nearly all debuffs of one character with one (expensive) spell, which is especially good for saving items. Use her with SP-restoring items and ranged weapons like the 4 x attack shuriken or the 9 x attack SMG.