[Angry Hill Troll]

I agree with the nominations on behalf of Maédhros and Túrin, but for me the most tragic figure is Fëanor, and the Valar agree with me on this

And [the Valar] mourned not more for the death of the Trees than for the marring of Fëanor: of all the works of Melkor one of the most evil. For Fëanor was made the mightiest in all parts of body and mind, in valour, in endurance, in beauty, in understanding, in skill, in strength and subtlety alike, of all the children of Ilúvatar, and a bright flame was in him. The works of wonder for the glory of Arda that he might otherwise have wrought only Manwë might in some measure conceive. And it was told by the Vanyar who held vigil with the Valar that when the messengers declared to Manwë the answers of Fëanor to his heralds, Manwë wept and bowed his head.

I think Fëanor fits the mold of a tragic figure by the extent of his fall from greatness, and in his own personality defects playing a critical role in his fall. Certainly his personality and rather complicated family situation made him much more susceptible to Melkor's machinations than any others of the Noldor. For me he seems rather reminiscent of Hamlet (well, except for the indecisiveness) just as Túrin does of Oedipus.