Do not bother 100%ing the SSE. You get nothing for it. Nothing at all. Not even a message. Seriously, Sakurai, WTF?
Since Lucario is basically the best newcomer in the game I figured I'd help explain right now what makes him so awesome.
WATAAAA *****ES
Overall: Lucario is one of those characters who are just different from everyone else. It's like Luigi or the Ice Climbers- even if you know how to play most of the cast pretty well, you're going to need to relearn half of it to use him half decently. Lucario's main hooks are his ridiculous hitboxes (and therefore, his mad priority) and his unconventional options in battle. Those, and the fact that "WATAAAA *****ES" is an epic battle cry.
Special Tricks: Lucario has almost as many tricks as Melee Samus.
Rage/Reversal: Lucario's damage and knockback are a little bit below average at the start of the round, but as his damage percentage increases his damage output and knockback increase as well. The rate isn't exact, but it's roughly linear up to being doubled at 200% and then stops increasing.
Wall Cling: Lucario can hang onto walls. Mostly useless, but you can kind of stall a little bit with it, or maybe make some more difficult jumps.
Dair: This move is FUN. I'll go into more detail later.
Weird hitboxes: Lucario's hitboxes are larger/smaller than they appear. His FSmash, for instance, looks like a sort of triangular shape, but the hitbox is actually a long, flat rectangle. Unless your opponent is familiar with Lucario, you can probably catch them quite a few times with his bizarre attacks. They tend to be weird in your favor, so you have some nice priority.
Awesome Zone Control: Dair, Utilt, Fsmash, Side B (running or from a dead stop), Neutral B, Misdirected Up B, and running Down B give Lucario great zoning. Lucario has a lot of say over what's going on in a match.
Smashes: It might just be me, but it seems like Lucario can hold his smashes longer than most characters, especially Dsmash. Helpful for mind games.
Important Moves:
Ground:
Running A: A flying kick. Good vertical knockback. Sets up nicely for Lucario's air combo machine.
Fsmash: Force Palm. Huge range and great knockback- this is very much a KO move. The move does the same amount of damage at any range, so don't be afraid to use it for keep-away or anything.
Dsmash: Two-way force palm. A good crowd clearer, but Utilt is better at it. Still, if you don't know which side needs to be protected, use this and go for both. Nice knockback too.
Usmash: An upward force palm. The horizontal range on this is pretty lacking, which means Lucario's Dash->Usmash approach isn't very good, but that's what you've got Side B for anyway. Can KO, but probably better used as a combo starter.
Utilt: An overhead swipe. Great range, coverage, and spammability. Covers pretty much everything around you.
Air:
Uair: An upward kick. Great combo move at low percents, KO move at high percents.
Fair: A forward kick. Another great combo move.
Nair: Energy spin. This has good range, but it stops you from doing anything else in air for a really long time for no reason. Try to avoid using it, really.
Bair: Backhand. KO move.
Dair: Double downward kick-stomp. AMAZING MOVE. Stops any and all vertical momentum Lucario has. Can be used to help recover or prevent yourself from flying off the top/bottom of the screen. It starts and stops really fast, and if you land a clean hit it's got killer knockback. Pull this out of a shorthop for a great suprise move.
Specials:
B: Aura Sphere. This is what happened to the knockback on Samus' Charge Shot: Lucario took it. Great KO move. If it's not fully charged, the ball will waver up and down like Mewtwo's Shadow Ball, making it easier to hit people. Also, the size of the sphere increases as Lucario takes damage.
Side B: Force Palm. At close range on the ground, this turns into an unblockable grab. In air or at range, it's basically just an unchargeable Fsmash. The thing is, you can use it in air or out of a run, and it takes you to a dead stop. Use it for fake-out pressure or against someone who likes to attempt to perfect-shield->counter.
Down B: A counter move. Unlike the FE counters, this move's knockback and damage is pretty much unaffected by the move being countered. It's got pretty nice vertical knockback on it's own, though. Use it like you would an FE counter- sparingly, to keep it a surprise. Also, beware of pits- Lucario will reappear in air and miss horribly if you're facing the wrong way near an edge.
Up B: Extremespeed. You can be knocked out of this, and it doesn't do damage, but you can curve the motion to go around people. Try to smack right into the ground to reduce landing lag. A good enough recovery.
Final Smash:
Aura Storm: Unfortunately, Lucario has the second worst Final Smash in the game, beaten only by Peach. It's a small, slow vertical laser beam with a long startup. Even Bowser has no problems jumping over you and thus completely avoiding your entire FS. The only reason for you to even try and get a Smash ball is to stop other people from using thiers and getting a KO. This thing is bad, people. It doesn't even guarantee a KO if you somehow manage to hit with the entire attack- the knockback is pathetic.
Control Pad:
Tup: Lucario surrounds himself in aura energy and growls. Pretty good, very nice results at the end of a match.
Tside: Lucario just kinda waves his arms forward. Kinda lame. I think it's a little faster than Tup or Tdown, but all of Lucario's Control Pad moves are pretty fast so it's not very useful.
Tdown: Lucario hits the classic Kung Fu pose. An excellent move, and a great time to shout "WATAAAA *****ES!!!"