I have a pocket Lucina, Wario and Cloud. I tend to lean toward Wario over Lucina and Cloud tho.
The reason is because of rush down characters.
I play these 3 characters for the following matchups (mostly Wario, tho).
The following list of characters rush down and chew on Link, sometimes effortlessly.
Captain Flacon
Fox
Pichu/Pikachu
The following characters, depending on the stage, generally stuff out Links toolkit, if the matchup is played correctly.
Megaman (well placed Lemons will not only stop every projectile, but if spaced right, can be safely covered with fairs and RAR bairs)
Zelda (Phantom not only blocks when sending it out, but also sits in place to block more, then neutral special and teleport being HUGE issues for Link).
Villager & Isabel (pocket the bomb and spam fair/bair = gg)
Samus (the ball crawl ducks all of links projectiles, and she has a fairly easy time edge guarding Link compared to other characters, thanks to downspecial)
Snake (because of grenades bouncing off your items and then the grenades controlling neutral space, and he shuts off Links strength, edge guards)
EDIT: I forgot to mention Simon. His whip can literally negate all Link's midrange advantage items on demand.