Level progression rewards you with hundreds of unlockables that enable you to alter the in-game appearance of every character, with different costumes, styles and colors, but also with new moves and equipment.
Though weapons and animations may differ between each avatar, there is no functional difference between them. Your choice of character, therefore, is very much a matter of personal preference – and, as you unlock further options, an opportunity to show off your experience with items that aren’t immediately available.
Use the Characters menu in the Customization tab to change or customize weapons (some of which are unique to particular characters), appearance, costume, colors and animations – including taunts and stun moves.