As everyone knows already. They have a few differents as I know of right now. I can give two.

1) Pikachu's Final Smash goes faster & seems to me harder to control then Sonic's to me.
2) Pikachu's Final Smash goes threw obstacles & stuff like that.

Pikachu & Meta Knight are a few that I think are cool. Meta Knight are example says something when you use his Final Smash. I think it was "I'll show you my power" or something like that.

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