In regular Arena, I aim for high tactician and assailant. That isn't always feasible in Icerun Arena XD
If available, I always grab the Krane. The Siphon Strike and Intersect combo is too good. The Snowloon is also very useful, but not always a must-grab. Algeel, Grimalkin, Macauco, and/or Gaudrey are another I pick up, especially if I can get 2 of either. Pack Mentality gives them 10% extra damage, and Algeel especially hits like a truck. Grimalkin are likewise powerful. Macauco have a tactician synergy, which is a very good synergy to try and max or even just get to the 2nd level. Gaudrey are least likely for me to grab, given my options. Their special gives them bonus damage in their next turns, but not on their current turn, and I prefer them to deal consistent damage.
Bracchus & Kit are another must-grab. Kits have Intersect, which is a good ability, and Bracchus have the Siphon Strike and ignores shields. Jocols are nice, but usually fall behind the other teams.
Thrasher, Stork, and Teufel are also very useful to grab. Thrashers have the double-attack and multi-attack, and Storks have the double tactician synergy. Teufel also have a multi-attack, and their special can wipe out 2-3 of the opposing team.