I'll have to add Death as a clear favourite - there's real character in that character, and Pratchett has developed him nicely over the sequence of books.
Any others, though?
Perhaps the most immediately memorable is the librarian at the Unseen University, who also happens to be an Orang Utan. There's something extremely memorable about that.
I *never* cared for Rincewind as a character - but maybe that's just me.