Arthur: Sustained DPS
Joan of Arc: Spike damage mitigation (especially against bosses)
Andromeda: Endurance
Solomon: Not recommended
Siegfried: Burst DPS on bosses, useless on everything else. Very reliant on the Burst damage of her mainhand weapon.
Mordred: Debuffer, best at damage smoothing and overcoming stronger enemies
Dal'Tanian: Strong debuff extra skill and useful healing/attack-up skill, but limited choice of weapons means your Burst damage could suffer
Arthur, Andromeda, or Mordred are generally recommended as your first Legendary unlocks. If you lack healing in your group, pick Andromeda. If you like challenging harder difficulties while undergeared, pick Mordred. If you want a good all-rounder, pick Arthur.