The preacher is probably not a good choice when you are new to the game. At least when playing a 2-player game.
In a one-player game he can be quite useful for beginner because of the first aid special power (you can swap your character's power with the CPU controlled power by using the space bar, so you actually can use each at anytime).
I highly recommend learning/exploring thoroughly the first world. The 4 levels are easy compared to the remaining of the game and getting the most out of them (power ups, lives, money) will help to be prepared for the forthcoming levels.