I always go with Link first. Why? Because it's the characters real name, and I tend to prefer using that for my first playthrough.
After that, it's sometimes a nickname, and sometimes just Link again. It depends on what I feel like
Last week's Question: What is your favorite version of Link to play in Smash Bros?
Third Place: Young Link (Melee) (13.3%)
Second Place: Link (Brawl) (20.0%)
First Place: Young Link (Ultimate) (33.3%)
The big winner overall is just Young Link in general! And poor Links from SSB Wii U/3DS...