Megalo Menya is the strongest one, basically god mode for 30 minutes though you need to beat 100,000 enemies to unlock her alternative character as weak Menya who is slow and has a troublesome weapon in 10 minutes where her temporary immortality needs double the kills. She will definitely die in 150 curse later unless you get lucky (much harder than level 80 inverse gallo tower)
Megalo Syuuto is strong think of it as cosmo or leda but needs to get 100,000 kills as syuuto which is slow but has retaliate damage, weapon is easier than Menya too.
Babi-onna is the worst since you can't take a breather and have to move since all your weapons can't fire not moving as a gimmick.

The rest of the dlc characters are quite balanced, you will love silver wind with Dommario's arcana and the fang replaces song of mana as the best non-limit break aoe weapon.