I’m really starting to feel that Sonic himself is a bit underpowered. His default damage seems low, probably to compensate for his 3 actions per round. Axe Kick isn’t too bad, but compared to other skills with 4PP cost, it seems a bit underwhelming. I usually get more damage off things like Chaos Spear or Uppercut, which cost the same PP. His AOE does Wind damage, which seems to be the worst damage type as almost every enemy is resistant to it. He does have a lot of team-up attacks though, and since he is the team leader I guess that counts for something.
All around, OMEGA seems like the best offensive character in the game. His default attack does AOE damage, as do most of his specials. Omega Beam is easily the highest damage outputting skill in the game, and has a very easy input sequence. He also has quite a lot of HP and takes hits pretty well.
I also think you should have either Tails or Cream in your party at all times. They are incredible POW batteries, and heal too. Cream is better at healing, but I prefer Tails because he provides more function than just heals and POW battery, and gets two actions per turn.
Robotnik isn’t much of a team player, but his Bombardment AOE does quite a lot of damage. All of his stats seem to be above average too. Probably to compensate for his lack of special skills or team-ups.
Shadow’s a pretty well-balanced character, and does pretty good IMO. He does suck down a lot of PP to use to his fullest, but I guess that’s what happens when you get 3 actions per round. Still, he’s got some good team-up attacks, AOEs, an armor pierce, and even a chance at instant-KO.
Big is a pretty good tank. Taunt is particularly useful against bosses, and his self-heal helps to support that. He has some decent damage attacks too. If you run Big and OMEGA together like me, OMEGA has a high damage team-up with Big and can use his Phasing Field to further support Big at taking hits.
Knuckles is a pretty good beatdown character too. Carries a couple of armor pierces and has a lot of good team-up attacks. His AOE doesn’t seem to do much damage, but it does Stun so it’s still pretty good IMO.
Amy Rose really surprised me. She’s got the highest damage default attack in the game. A lot of her offensive skills also carry a chance to inflict status ailments, and she has a team buff too. Not too bad overall.
Rouge is terrible. Honestly, I see no use for her at all, unless maybe it turns out there are some really good items you can steal off enemies or bosses with Theft. Her primary attack skill deals Wind damage, which most enemies seem resistant to. Her AOE does shitty damage, even with the fact that it armor pierces. All of her other skills suck too IMO.
Shade
Spoiler
Shade is a bit disappointing to me too. Most of her solo skills are kinda meh. Her Echidna Rush team-up with Knuckles isn’t too bad though. But then Knuckles becomes kinda redundant for map exploration, and you only have one support slot left.
I still think that personally, when you aren’t forced to use particular characters, Tails/Big/OMEGA seems like the best setup. I’m hoping maybe eventually you can take Sonic out of the leader spot.