My favorite way to unlock all the characters: play SSE. SSE is surprisingly easy, the cinematics are fun, and it gives you a chance to test all the characters comfortably and thoroughly as you unlock them. I've unlocked almost all the characters and I think the only one I had to fight to claim was. I probably got him from brawl matches, anyway.Spoiler Alert!Captain Falcon
Besides that, just play (online) brawl for awhile. Both are good ways to learn the controls and strategies, and are quick access to many of the locked characters.
EDIT: I can't confirm wifi brawl counts toward required brawl match requirements.