I read a book last year called Best Served Cold by Joe Abercrombie. The amount of work he put into these characters just blew me away. Every one (and there are loads of the buggers) has a fully realised and interesting backstory that doesn't detract from the main plot. The main characters all have solid arcs that pay off completely in the end game. There is no dead wood. Everything flows together and works - not to mention there are some pretty interesting life lessons in there, some kick ass battles and some genuinely witty dialogue.
Cannot recommend it enough.
It's one of the best books I read last year and I go through a lot of books.
Plus; it's a one-shot. Not part of a long series, so you can devour it whole (and you will) and not have to worry about any cliffhangers. The characters stay with you, if only because they are so vivid and lifelike.
If you want to read about one really good character, the Night Watch series by Sergei Lukyaneko is a good contender. If you can follow the twisting plot and keep up with all the double and triple crosses, and you have the patience to read a novel translated from Russian, you'll really enjoy the main character.
Also, you can't go wrong by any Raymond Chandler books about Phillip Marlowe. Start with The Big Sleep and go from there. Phillip Marlowe is one of my favourite literary characters - always worth picking up one of his adventures if you get a chance.
Oh I have more. So many more. But I figure I've taken up too much of your time. I always do that - I'm actually not this garrulous in real life, only on the internet, or when I'm drunk.