There are so many fantastic characters to mention, and I'm drawing a blank now that I want to list some, but here are a few, some already mentioned, that I found to be memorable:
Hannibal Lecter [Anthony Hopkins] (Silence of the Lambs, Hannibal, Red Dragon, Hannibal Rising)
Dolores Claiborne [Kathy Bates] (Dolores Claiborne)
Annie Wilkes [Kathy Bates] (Misery)
Ghost Face (Scream Movies)
Danielle [Drew Barrymore] (Ever After: A Cinderella Story)
Josie Geller [Drew Barrymore] (Never Been Kissed)
Wednesday Adams [Christina Ricci] (The Adam's Family)
Blade [Wesley Snipes] (Blade Trilogy)
Aragorn [Viggo Mortensen] (The Lord Of The Rings Trilogy)
Gandalf [Ian McKellan] (The Lord Of The Rings Trilogy)
Baby [Jennifer Grey] (Dirty Dancing)
Beatrix Kiddo [Uma Thurman] (Kill Bill Vol. 1 and Vol. 2)
Morpheus [Laurence Fishburne] (The Matrix Trilogy)
Elizabeth [Cate Blanchett] (Elizabeth and Elizabeth: The Golden Age)
Just to name a few....
I have more...but I didn't want to keep going and going and going....
ETA:
I had to add this one:
Arnie Grape [Leonardo DiCaprio] (What's Eating Gilbert Grape?)