Sheik, Dr. Mario, Marth, Puff, Peach, Fox, Falco. That's the order I'd rank them, but I haven't done any real investigating Link has good damage building, good knock-off potential, but a mediocre team grab game, so you want a second that can edgeguard well, combo well, and has strong KO moves. The real determining factor is what character you play the best.
Individuals:
Sheik: Rescue Link with Needles/Uair. Great edgeguard. Good vs. Fox, Marth, Peach, Samus, and many others, good survivability.
Doc: Rescue Link w/ Pills. Bair edgeguard and cape ftw. Good vs. Falco, Sheik, Marth, Peach, and many others.
Peach: Rescue link w/ Float stuffs and maybe turnips. Downsmash, turnips, help her deal with most opps on stage, but has trouble w/ Samus.
Puff: Good at following up and setting up Link's dair, uair, spin attack and smashes, but must be careful not to get caught up in them. Good vs. Falco primarily, but also good against others.
Marth: Great KOs, good combos, good matchups against Fox, Falco, Peach, etc.
Spacies: Do their own thing mostly, and are good on any team. Falco's good at getting link out of combos and trouble, Fox is good for effecient KOs. Generally I'd keep a Fox on standby.