A video showcasing most of the Amiibo costumes in Super Mario Maker (based on the currently released NA Amiibos).
Everyone except the Pokémon has their own level clear theme, and it is generally whatever the level clear/victory theme is from their original games (for example, Link's is the "Triforce Piece Obtained" theme from the original TLoZ - or his victory theme in Smash, if you haven't played NES Zelda).
It's not universal, but a trend that can be observed is that most characters who come from retro and old school games come with classic sound effects based on those games and are silent (Kirby, Sonic, Mega Man, Pac-Man, etc).
More modern characters on the other hand, tend to have voice clips and have more realistic jumping sound effects (for example, Rosalina has her jumping voice clips from 3D World, as well as the sound you would hear when she jumped from a stone surface in 3D World. And you hear Laura Faye Smith's "Here I go!" voice clip upon donning the transformation). Toon Link, Sheik, and Rosalina are good examples.
Also, despite this being an NA copy of the game, Shulk has Japanese voice clips instead of English ones, so it seems they didn't change them for each region.
Also Sonic's is amazing because when he jumps, he spins into a ball, and also rolls when you do a sliding crouch, meaning you can effectively perform his iconic spin attack (except it's not actually an attack here). It looks so smooth too.