Jay Gatsby (the Great Gatsby) and Stephen Dedalus (Portrait of the Artist as a Young Man and Ulysses) In a horror novel, I'd say Van Helsing from Dracula and Mammoulian from Clive Barker's the Damnation Game. Comics wise Rorschach from Watchmen and the Joker of course.

This is an opinion only, but I hated The Great Gatsby. I actually founf all the characters to be a bit dry, and the story overwhelmingly rediculous and dull.

However, I'm an the minority.

Yeah, the great gatsby did not do much for me.

Re: Favorite Character
 

Anita Blake comes to mind right of the bat.