Over on the Australian Broadcasting Corporation's First Tuesday Book Club is a request for nominations for the most powerful or moving fictional characters, which is slated as the subject of a future program.
In considering such characters from mystery fiction, one on my list would be the serial killer Dix Steele from Dorothy B. Hughes's In a Lonely Place (1947). Hughes does a tremendous job in showing the reader how this character became what he was. You may find him chilling, but you do understand him. Are there other nominations from the floor?
In addition, the First Tuesday Book Club has an archived list of recommended reads in crime fiction—not a lot of surprises, methinks, with the possible exception of American Horace McCoy, who is best known for They Shoot Horses, Don't They? (1935), but also was a hardboiled writer of considerable skill.