Out of all of Tolkien's characters, I'd say I pity Túrin the most. His life was like a classic Greek tragedy: by the end, everyone was dead. The Tale of the Children of Húrin is without a doubt the most depressing thing Tolkien ever wrote.
From The Lord of the Rings, though, I'd say Faramir. Though he loved his brother Boromir, he was always in his shadow; no matter what he did to try to please his father, Denethor always dismissed it, basically saying "Your brother could have done it better." Then Boromir gets sent off on this quest, so Faramir is stuck back home trying to do the work of himself and his brother and still can't make Dad happy. After getting serriously poned by the Orcs in Osgiliath, he gets chased across the Pelennor by the Nazgûl. Then he gets the great news that, hey, guess what! Boromir's dead. That doesn't improve his standing in his father's eyes, and so in the attempt to live up to his brother's standards, Faramir goes off to retake Osgiliath, only to be shot and fall under the Black Breath. He nearly dies, and can you even imagine what it must have been like for him to wake up and be told that his father had gone totally bonkers and burned himself alive? Poor Faramir basically got stuck with living in an Endorian soap opera.
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"'...Home is the sailor, home from the sea,
And the hunter home from the hill.'"
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