Mmm... well, I doubt characters would "die" in Brawl, so it doesn't matter. 9_9
I'd probably save Peach. Because she was my best fighter in Melee. And I don't remember any point in time where she was "idiotic". O_o By definition, it doesn't add up. And Zelda needs rescuing all the time, too. =P
Just alternate. You might have to to get all the characters anyway...?
(but what if I wanted to play as Peach in that mode? Then couldn't I save Zelda? XD) Win-win.