Robin is the playable avatar from the newest installment of the FE series. He/She (you can pick gender along with name and customizing physical attributes when starting the game) is a main character in the game and functions something like a PC, since he/she is effectively designed by the player. Robin is available from the very beginning, is not allowed to die, and plays a crucial role in the game's plot, despite not being a Lord (Lord being the typical class for the main character of an FE game; in this case, Chrom and Lucina are both Lords with Chrom being the main Lord). Robin is also unique in the sense that he/she starts out being able to use both Magic and Swords; traditionally in FE characters are either fighters or mages and very rarely do they mix (though some later available prestige classes do offer the availability to use magic and a weapons as well). The aspect Robin mentions about tomes being used up references in-game mechanics in FE; almost all weapons and magic tomes in various FE games have a certain amount of uses before they break, with weaker things having more uses and some powerful ones only allowed to be used maybe 5-10 times.
Lucina is another character from FE:A. She is a secondary Lord who appears early in the game but does not actually become playable until later. She initially appears as a masked fighter and takes the name of Marth, only to later be unmasked as a woman with her identity revealed (though there's more to her identity than just her gender and name, I won't spoil it here since it's plot-relevant). Because of her connection to Marth, I originally thought that she might replace Marth as an available character in SSB, or appear as a different skin for him; they're also both fast characters with smaller builds. I would be disappointed but not surprised if she ends up being simply a Marth clone, though I do hope that there will be something that distinguishes them.
Chrom, despite being the main character of FE:A seems to only be in the game in Robin's final smash.
