Here is a list of some of the important characters appearing in classical literature (particularly those who appear in several different works) and the plays and poems in which they appear.
In general, I have not included the gods (e.g. Zeus, Apollo, Hera, Poseidon, etc) who appear in many works, usually in relatively minor roles, except where they are used as major characters in a work (e.g. Dionysus, Prometheus, etc). Neither have I included the more minor characters. The search facility can be used to narrow down appearances of other characters not listed here.
Also, you can move your mouse over the character’s name (the brighter green links) to see some very quick information on that figure in mythology.