Marth and Captain Falcon are probably the two best characters to learn the fundamentals of the game from, as they both have a good wavedash, a fantastic dash dance, a medium length jumpsquat, and a pretty flowchart combo game off of throws. A lot of the tech you'll be practicing when you first start out is pretty easy to learn on either of those characters. Sheik is an easy character to pick up since most of her aerials auto-cancel, her combo setups are easy to land, and her combo/edgegaurding game is fairly straightforward, but movement isn't as big a part of her game as Marth or Falcon because her dashdance sucks. If you're just interested in Melee and you want to get good as quickly as possible, i'd recommend starting with one of those three, but if you feel a strong pull towards a spacie, by all means play them. You'll be more inclined to play and practice if you're playing a character you really feel like you connect with. Fox and Falco are very different characters though, despite the fact that their moves look similar, so it shouldn't be a coin-flip decision on which one to choose if you decide to go that route.
Edit: Also if you do decide to pick up a Spacie, understand that because they are the most popular characters in competitive play, every actively competitive player knows how to play against them. This shouldn't necessarily be a deal breaker, but just understand that as a beginner Fox or Falco you're going to get booped by anyone who's been attending tournaments for more than a month or two.
