Complete Monster: Mockingbird has the best claim to fame for this one, as even the most vile villains (Tikari/Viitta, Masher, Mir) have either justifications or a somber send-off. He has neither, wishing only to spread chaos and suffering wherever he goes simply For the Evulz. It says a lot when even Bellum, the Big Bad corporation, despises his guts.
Davis Dahmer is rapidly trying to compete with him. Specializing in pain and torture, Davis is a sophisticated lunatic who sees everyone else as objects for his amusement. Also, he is the only confirmed rapist in the entire series so far (Masher was merely hinted at), and this is a series where Rape Is a Special Kind of Evil most definitely applies.
Ensemble Dark Horse: Wolfenstein, oh so very much. Originally he's just a NPC made for a single quest and Gaige's superior. Later on, he becomes a player character Vault Hunter, even becoming a main character in the second DLC.
[Reviewer]: '''"There is so much symbolism here if you read between the lines. Mockingbird could be the ironic innocence that a is suppose to mockingbird represent, but he becomes one of the most corrupt being in the story!"
[Scotty "Roundhouse" Dale]: "Uh..."
[Richard McGuiness]: "We didn’t have any symbolism for Mockingbird technically. He’s…uh…just a ruthless man-child who loves to fuck around with people because he finds it amusing."
Tear Jerker: Has a couple, despite the overall high-action style of the story.
Pretty much all of the character's backstories posted at the end of each story arc. They range from Suture's (disturbing and mildly sad) to Saprus's (absolutely heartrending).
Wolfenstein's is definitely one of the top ones though, as it's one of his few Not So Stoic moments that isn't Nightmare Fuel incarnate.
Suture's confession of guilt to Aurai. He's clearly struggling for what he did to her, and he even admits that he has no reason to live any longer, offering the chance for Aurai to torture him just like he did to her, as well as handing her a gun to kill him. She forgives him, sending this into happy tearjerker territory.
Word of God: The characters Richard Mc Guinness and Scotty Roundhouse Dale function as such, typically providing commentary to the story and relaying answers from the author.
In Chapter 40 of the 2nd DLC, Samuel Keller himself appears in one of their interviews to answer fan questions.