[Thalia]

Wow, this is a great topic!
Off the top of my head, I can think of these characters as ones I've really enjoyed...

Joe Kavalier from "The Amazing Adventures of Kavalier and Clay" (just really artistic and brooding, quite crush-worthy)

Dunstan Ramsay from "Fifth Business" (a witty old professorial type)

Ralph Touchett from "The Portrait of a Lady" (kind but misguided invalid, his final scene in the book makes me cry!)

Kate Croy and Milly Theale from "The Wings of the Dove" (I love Kate because she's so complicated, both capable of deep loving and extreme deviousness, while Milly is one of those rare people who seem truly without malice)

Lambert Strether from "The Ambassadors" (His 'awakening consciousness' is really charming and insightfully portrayed - just great!)

The Wife of Bath from "Canterbury Tales" (A liberated medieval cougar with more husbands than she knows what to do with - a Samantha Jones for the 14th c.)

Becky Sharp from "Vanity Fair" (She's so catty and Thackeray's illustrations of her are hilarious)

Prince Myshkin in "The Idiot" (The way his goodness is scorned and reviled by that damned Russian aristocracy breaks my heart)

Elizabeth Bennett from "Pride and Prejudice" (What girl doesn't love her?)

I agree that Sugar from "The Crimson Petal..." and Severus Snape are also just fantastic characters.