Various Hideous Men
These men are oddly intelligent, acute men who often admit their flaws directly, but who then usually go on to offer such serpentine arguments in their defense that it becomes clear that they are truly despicable, dangerous humans. Most of these men are sexual deviants, many are drug addicts as well, and many attempt to seduce the interviewer during their interactions.
The Interviewer
Although she remains nameless and voiceless through the entirety of the collection, the interviews contain indirect descriptions of the interviewer, so we know that she is a relatively young, intelligent woman who seems to have just gotten out of an unfortunate relationship and is now interviewing men to hear them defend their various neuroses and psychoses.
You
One of the most fascinating literary features of the collection is the story "Forever Overhead" which features the reader as the main character of the short narrative. In the story, you just turned thirteen, and you're finally being viewed as your own person. You wait in line and then climb the high dive and dive into the water. But properly understood, the story is a challenging philosophical expression of the meaning of your life.
The Depressed Person
The Depressed Person is another must-mention in the collection. Wallace himself admitted that this was the one character he hated unredeemably. The woman in question is a self-centered woman suffering from serious, suicidal depression. The irony of her character is that she is the most difficult person to empathize with because of her unrelenting pride and self-centeredness.