Talking about KoF XIII, I main Ash. That's it. xD
In reality, I just pick whenever I want to use that day and see if I can go far with them. I would normally pick Kim, Ryo and Andy for team members but I've been trying out a few other characters as well. Duolon, for example, has interested me even though he's hard to use. On the other hand, Hwa's normals are making me feel awkward. The only reason why I pick him is because I want to see him crazy-drunk. xD
Characters that attract me most of the time though are those with good normals and mixups. Someone with a command overhead, throw or confusing-looking attack would do well for me. It also helps if the character isn't insanely popular as I have a tendency to use overlooked characters. I guess this is true for any game as well.
Ash though is a special case. I just want to learn how to play him properly. I just have a hard time adjusting since most attacks and attack properties I like to use and abuse in previous games are gone now (his jump C, Messidor, Vendemiaire, etc...) but I do like to learn a few new tricks for him and improve my pressure game.
Also, sticking to a single game? Single to a few games work for me but I usually focus on one game at a time if it still interests me. Sometimes though, I feel the need to use a character who is not in the game I'm currently playing so whenever I can, I'd play a different game with said character. This is actually effective in order for me to play different versions of KoF, for example. I know I'd play CVS2 if it would mean satisfying my urge to play Kyosuke and Hibiki.