I guess "arc" is most fitting identifier here. This review is specifically about Blue's game, not the other characters.
Blue's story was probably my favorite one, because of the Cain And Abel
premise. While I liked it the most the execution left something to be desired. Of the ones I played through, his was also probably the easiest, because it had the least story.
The intro makes it seem like there's sort of time limit to what you're doing, saying "hurry, you can't master any magic Rouge already has," but you can take all the time you want— you're never denied learning a type of magic because Rouge beat you to it.
The problem with the story is that, with the exception of what you're told at the beginning of the game, and what you get just after you fight Rouge, there isn't any. Playing as Blue is little more than a 15 hour tutorial on where and how to learn magic. That said, it's somewhat justified— he finished his studies in the Magic Kingdom and isn't allowed to return, and the only people outside the kingdom who know about his quest are, himself, Rouge, and the people in his party. The only non-standard dialogue is usually him asking if the person he's asking about the gift saw Rouge yet. There is
a bit of a plot twist after the fight.
From the bits of characterization we get about Blue, he seems to be a cold person,or maybe just very focused on his goals. He refuses to join Red during his game because his name reminds him of his brother. All he has to say about the porno book
in Shrike is "What a useless book."
In combat, Blue probably has the best potential out of the seven protagonists. Although he starts off physically weak, he's the one of, if not the best caster in the game, and can easily master physical attacks as well with training.
His final boss fight is fairly difficult, but doable. It can be made trivial if you use the Game Breaker
"Overdrive-Stasis" trick, but without, it's just hard enough.
Blue makes a very good character for beginners, since his quest is one you're likely to repeat every playthrough. If he's one of the last you play as, however, it could be extremely tedious. If you want a sandbox character, he's a good one, but if you want a real plot, Asellus, Red, or Emilia would probably be better.