That depends on you and what you're facing.

This game is like a card game, something like Magic the Gathering. You build a deck of ninjas and they automatically play their cards in certain orders to try and pull off combos. But combos aren't everything. Sometimes just having good deck of answers to what your opponent will do can matter more. So you have to decide what type of deck you want to build. Aggro, control, midrange, combo, removal heavy, board wipe, etc.

The meta will constantly change as more ninjas get unlocked and currently we're in the healers/burst phase where the object is to spam poison and fire and combo as much as possible. Later we'll be moving towards the "everyone is using Shikamaru" phase and you will find that very hard to do.

Theme decks work too. All lightning team with buff can target and eliminate a single character very quickly. Or you might go for *l puppet team with Chiyo, Sasori, and Kankurou.



Since you asked about Gaara... once of the strongest Arena teams I am using is Gaara, Kakashi, Kabuto, and Lightning main. It's basically invincible and combos very well. Lightning main makes up all the dps you need while being able to synergize well should you lose a ninja. Even if Gaara dies and Kakashi too since he gets targeted, all you need is Lightning main and Kabuto to win. If Kabuto dies, you can win with Gaara because he's probably at full health and the enemy is likely low on health because of Kakashi's burning effects.

Try and build some combos and see what you like:
http://*.qq.com/tool/huoying/mnq.htm