Alright, going to cover some things I have seen discussed here so far:
On Mewtwo: The hype surrounding him is gigantic. He can/will make or break the game for some people. He is the number one most wanted character not named Megaman(already in) or Ridley. The backlash to him not being in Brawl was immense. He was asked about and Sakurai responded "We're thinking about it". He can even be used to represent the 6th generation of Pokemon with his TWO new Mega Evolutions. The ONLY reason Mewtwo would not get in is if GameFreak decided to push a newer rep instead. Which would be pretty ludicrous at this point. Jigglypuff(if returning) can represent the new Fairy type and Lucario/Mewtwo/and/or Charizard can represent the Mega-Evolution mechanic which along with stages and Pokeball Pokemon, it should be more than enough representation for the 6th generation. That being said if Mewtwo is shown off before release it WILL be at E3. Otherwise he is a secret. And he WILL be in this game. I'm more than willing to bet on it.
On third parties: Pac-Man is the most likely, hands down. Is it everyone's favorite choice here, absolutely not. Controversial to say the least. But as mentioned elsewhere in this thread, while we are the most dedicated to this series, we are certainly not in the majority, and as far as popular video game characters go, Pac-Man is easily top 5, probably number two only behind Mario himself. Almost EVERYONE knows who Pac-Man is, and whether we like it or not, he will likely be there. If not him, than Snake comes back. I don't think that both will happen, and I certainly don't think we will get more than three third parties. If neither of them get in, I would like someone with some connection to Nintendo history, like Megaman. My choice would be Simon Belmont, who I imagine would be next in line for Konami if Snake does not return and Pac-Man does not show up.
On the direct itself: We're getting at least one newcomer. Potentially two. And probably a few veterans. Who they are will depend on who the newcomer/s are and who they are saving for E3. I have a feeling E3 will show off at least Pac-Man and Mii and one of Ridley/K.Rool/Mewtwo. If they are all in they won't show them all before release. At least one of them will be a secret character. For the direct I'm guessing Palutena and the second would be Takamaru. For vets I can see any one-three of the following: Meta-Knight, Ice Climbers, Sheik, Wario, Pokemon Trainer. I think Yoshi will be shown of in the summer for the Japanese release of Yoshi's New Island/Yarn Yoshi, whichever one it is. It is possible that Captain Falcon/Ness/Falco show up, but I have a feeling they will be locked. Maybe Falco moves up to a starter, but that only happens if Wolf returns(which is likely IMO). I think ZSS will be shown off with Ridley, which I have to imagine would be at E3. Maybe I have this all wrong and we get Ridley/Mewtwo/K.Rool at this direct, but I have a feeling that they will be saved for E3. We could get one here and one of the others at E3. That would be the best case scenario. I also expect Sakurai to show some new Final Smashes, show off the newcomers(including the newly revealed one/s) more in depth, maybe a new stage or two, general gameplay footage, and a look at a new mode or two. A release date would be phenomenal. I hope for more, but I am not going to build by hype to the shy to have it come crashing down. Don't get me wrong though. This post may seem somewhat cynical/not so hype but I am more than hype for this event. I will be overflowing with joy with whatever does get shown off. And I totally hope I am wrong with my guess and Sakurai absolutely blows us away.
TLDR: Wall of text related to the direct and various sub-conversations on this thread. Mewtwo and K.Rool please.