I appear to be coming in a bit late to the party, but Id say Zangief. He'd have the close range grappling down good enough so as Rhino's brute strength wont really come into play, and aint too bright either. But everyone's done trampled up and down this road.
As to Zangeif vs Colossus... Hmm. First it would depend if your counting the Vs. Zangeif, with the mech mode or not. Either way, metal wouldnt be too much of a factor since IIRC Colossus is a wrestler at heart as well, and Zangief can lift that much weight. However, it would come down to endurance, since Gief would be working 4 or 5 times harder to slam a heavy man of metal than Collossus would be working to do damage to Gief. So Id give that to Collossus.
If you want count Mech Zangeif, Id still give it Collossus in a much closer fight. It seems Mech Gief is much slower than normal, and Collossus is quicker in his form. That would be the only advantage Id see Collossus having, thus leading to an eventual win.