I know it's a generic answer, but I want to say that the absolute hardest character to get good with is the Pokemon Trainer. If you aren't good with all 3 of them, you're leaving yourself open to anyone who can exploit the other's weaknesses, not to mention that there are some who play well against all three Pokemon. Plus, properly using the strengths of all 3 in battle at the right time does take a lot of work, and you risk being instantly killed by a readied attack every time you switch.
This one is going to get me flamed, but I also think Metaknight takes skill to use. It's not that he's not an easy person to pick up (although this varies from player to player). It's because he's the best character that atleast 60% of anyone who plays Brawl and has access to tournaments, other player's news, or the internet is concerned about how to deal with him, and as such learn different ways to battle against him. As such, it takes a lot of skill to battle against that many people, some of them who are out specifically to get you.
People are again going to call me crazy and flame me, but I think Olimar takes some skill to use right too... Your attacks, knockback, strategy, and even chances of winning can completely change depending on the Pikmin that you get. And it doesn't seem like you can harvest as many as you want the instant you want mid match. I might just be inexperienced with him, but still, I haven't seen too many who can do a magic dance and pull out 6 Reds instantly. Mastering the different attacks with different pikmin seems like a daunting task to me...
Snake also seems a little difficult to use as well. Many would just say to up-tilt and forget about it, but spamming any move is going to get you killed. A smart snake has to be able to use all of his abilities, from his mines, to his grenades, to his grabs, to his tilts. That's true for everyone, but Snake has so many different tricks, and yet if you can't use the right one at the right situation, even this legendary Soldier isn't going to last too long on the battlefield.
I guess I can understand it a bit, but I personally haven't had proiblems with using him. He flowed pretty well with me. But everyone seems to think that it's hard to use Lucario... I dunno, but I guess, just to round out the five, since they say that his learning curve is the only thing keeping him from not being uber popular in the Meta-Game (I'm ignoring anyone who doesn't know him enough and that assumes ExtremeSpeed not being able to attack is a big weakness, because it's pretty unmentionable).