In Citadels 2016 the rule book has a recommended first game setup. However that setup does not include a 9th rank character. For a first game (with 3 players), should players use Artist or Tax Collector? Or should they use a different preset option?
I've read the Dutch rulebooks of the base game and the expansion. The expansion introduces the ninth character, and it states that in a 3-player game, you only have 8 characters. It's highly recommended to leave out both the Tax Collector and the Artist.
Note that, as mentioned in the comments, the original game had only 8 characters. The expansion came with 10 characters in total: replacements for characters 1-8 and two picks for spot 9. So now, you can pick from two characters for each spot in the turn order. However, as mentioned in the rules (here - and in Dutch -, for completeness sake) 3-player games (and by extension, 2-player games) should e played with only 8 characters.
Use the Tax Collector. Artist has fundamental problems - while almost every other character can potentially generate more than action's worth of value a turn (e.g. Architect can draw 2 cards, King can get you the crown counter + extra gold if you have yellow districts), Artist cannot. Artist is only ever worth it if you have a very important purple district you want to defend, but even then it's marginal.
Having said that, you can and probably should try the new rules. You have 9 characters. Start with one face-down, then all three players (call them Alice, Bob and Charlie) select one. After Charlie chooses, he shuffles the remainder and sets aside another one face-down. That leaves four cards, one for each player and one more to set aside face-down.
This adds an extra element of uncertainty, e.g. Alice no longer knows exactly which two characters Bob and Charlie took first, which is desirable in a game like Citadels which has a large bluffing component.
I recently read the rules for the most recent edition, which contains a lot of changes. One of them is to use nine characters in three-person games, as suggested in my original answer (below), which missed the point of the original question.
As for which of Tax Collector and Artist should be used for the turn 9 character, I do believe the Tax Collector would be the more useful and make for more interesting decisions. When I have played with a similar setup in three-player games of the old edition (and the Artist was the only available turn 9 character for such a set up), it was almost never taken, except for it's value as a "useless" choice that was less likely to be targeted by the Assassin or Witch.
As Steenbergh noted, the official rules [for older editions] says that you should only use eight characters.
However, we felt that there was a problem with this, as you would always know which two characters the other players picked between your two turns at choosing. In particular, we felt that this made the assassin and witch (I have only played the old edition, but they seem to be unchanged) too powerful as they could always be guaranteed to mess up someone's turn. To alleviate this somewhat, we used a house rule and added a ninth character and when everyone had chosen their first character, randomly removed one from the pool, without revealing which it was. This added some nice tension back into the game