There are many tragic figures in Tolkien....
One could go so far as to say that EVERYBODY is tragic. Think about it: you could probably make a case that every single character in Tolkien has a tragic life, or at least elements of one. Of course, that's rather the nature of a normal human life...
Still, you could say, with justification, that every major character in The Lord of the Rings and The Silmarillion has a majorly tragic life, up to and including Manwe, Frodo, Aragorn, and Earendil. The only exceptions that I come up with are Varda and Gandalf.
However, I am forced to admit that I find the story of the family of Hurin to be the most tragic. Turin and Nienor have the most tragic story, in my opinion. Their entire story was written with the express purpose of tragedy, whereas with most of the others, tragedy is just sort of a thing that you seem to come by as a part of being in middle-earth.
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I prefer history, true or feigned.
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