From the Super Mario Wiki
The Smash Ball is an item found exclusively in the game Super Smash Bros. Brawl. In order to use its powers, the players have to actually attack the Smash Ball, to a certain extent, and break it open before use. By collecting it, the player can then trigger the character's Final Smash. To activate the Final Smash, the player must press the special move button, without any directional input. The item itself is a rainbow-colored emblem of the Super Smash Bros. series. After collecting the Smash Ball, the player's character will have a glowing aura around them. Additionally, the screen will dim a bit overall, excluding the glowing character. If the Smash Ball is present for a period of time without anyone receiving it, the Smash Ball will fly away and disappear until another one appears.
There is also a Pity Final Smash which is given to the losing player when a point of advantage has reached. When this has happened, the player will reappear after a KO in Final Smash stand-by mode.
The player can also lose the Smash Ball after they have been attacked. If this happens, the Smash Ball comes loose from the player and starts flying about again. The player or another player can regain it by attacking it.
 Trophy Information from Super Smash Bros. Brawl