Archives 
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When choosing the right weapon and character for Mission Mode, it may be a little confusing. This is a tool to help you.
Xemnas
Xemnas is a wonderful character. He has superior stats (he is the superior), and wields ethereal blades. Most of Xemnas' weapons are great, but Interdiction is the best. However, it's aerial combo isn't very powerful, so if you face a foe such as the Solid Armor, Interdiction isn't the best. It's ground combo is better, as it regularly releases a vertical line of blades, and it's Y combo releases a horizontal line of the latter.A good choice for any mission.
Xigbar
Xigbar is flawed. His attacks fly right past close enemies, are in a set deck, which is annoying and it must be reloaded, and does small damage. Not even Sharpshooter nor Final Weapon do much damage. To get the best of Xigbar, you must have the Limit Pass so you can spam Critical Snipe, but even that is flawed, as it does little for the aerial enemies. Even though he is Tetsuya Nomura's favorite, he is not mine.
Xaldin
Xaldin has overall average stats. This makes him not impressive in that area, but it is rather fun to use his ground combo finisher. If you use Xaldin, Lindworm is a must, as other lances don't do much, unless you have Ultima Weapon.
Vexen
Vexen is horrible. I personally have played as him once, and that is enough to realize how bad he is. He has poor strength, poor defense, and a sucky limit break, Diamond Dust. Even his magic isn't very good. If you want to deal some damage, you must have Aegis+, which is 1 strength higher than Frozen Pride, which works also. If Vexen is your favorite member, than stick to lower grade missions, like the ones in Twilight Town.
Lexaeus
Lexaeus is exteremely powerful, and extremely defensive, making him nearly invisible. Lexaeus has very slow attack speed and low magic, but small sacrifices anyways. Lexaeus is a great choice for higher level missions, such as the Place the device mission for the Land Armor, or the Morning Star and family. Brick Wall makes him perfection, as enemies may attack Lexaeus during his combos, so I recommend you equip either Skysplitter (Zero Gear), 1001 Nights (Ultimate Gear), or Clarity+ (Champion Gear+).
Zexion
Zexion is my personal favorite. I(t's not every day you get to destroy enemies with a book! He has some of the best magic of all the characters, second only to Donald. However, his strength is poor, so you must equip either the Pandora's Gear+ (which creates Radical Teatise+) or the Zero Gear (which creates Book of Retribution.) Because of his poor stats, I recommend that you do not choose Zexion until you are Level 70 and or have the Limit Pass, so you can spam his highly destructive limit break, Meteor Mirage.
Saix
Saix is the best. Of all the characters in Mission Mode, he is the best, and I recommend Saix for any mission. What makes him so special is his critical rate and critical bonus, which are a deadly combo. If you equip Critical Sun as his ring, you are in good shape. In terms of claymores, I would recommend the Zero Gear, which has Brick Wall, but if you equip Duel Gear (with Ultima Weapon) or Duel Gear++, which both make Luminary, you would be fine also.
Axel
Axel's Pizza Cut are tempting to use, but don't. Axel's strength is speed, and not strength itself. If you want success, you should Equip Eternal Flames or Prominence+. A good strategy for Axel is too let enemies attack you until you are on the yellow area of the HP bar, and you should have the Lixxxmit Pass, and then spam Explosion. An overall average character, but if you like him, it's worth it.
Demyx
Demyx, like Zexion, wields a weapon based off an object not usually used to fight. The only other place you can defeat enemies with a guitar is Guitar Hero. As for stats, Demyx is not very good, plus his limit break, Wave Gigs, is herendous. Also like Zexion, Demyx's forte (ah, did you see what I just did right there!!! :]) is magic, and so you should spam high level magic to get the best of him. Arpeggio is a must. Fun to play as, only until you realize his poor strength.
Luxord
I actually don't have any feelings for Luxord. Honestly, he has good aerial attacks, as long as you have fair game equipped, you're good.
Marluxia
Marluxia's pretty face shows great skill, as he has impressive stats all around. The problem with his best weapon, Graceful Dahlia, is that it takes many hits to get to the powerful finale. In that time, an opponent might slip away or attack to end the combo, which is why Brick Wall would be useful. Only Faithless Digitalis has Brick Wall, but poor strength, so equipping a ring such as Imperial Crown would have you set to play.
Larxene
Larxene is pretty good, except she doesn't have a powerful combo finisher, rather a flurry of short range attacks. This becomes useful if you equip Vol de Nuit+, as it itself has the ability, plus thay are powerful knives. Try to stick to Magic if you use Larxene, and use her Phantom Gear, Etoile, for maximum magic potential.
Roxas
Roxas has a common misconception: Dual Wielding Roxas is more powerful than single wielding Roxas. This is true in Story Mode, but as this is Mission Mode, snap out of it. Dual Wield's Magic Hour is about all he's got, so I recommend using Omega Weapon or Two Become One if you use Roxas. I recommend Roxas for any mission, just not the next one.
Xion
Xion is a scam. She is the same as Roxas, so I don't feel like repeating the previous.