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In terms of the characters in "Sonny's Blues" (by James Baldwin) and Death of a Salesman (by Arthur Miller), I believe that both Sonny and Willy Loman struggle within society because they don't quite fit in.
Baldwin presents, using direct and indirect characterization, the person of Sonny. He is described by the narrator (his brother) as a young man who never seems to take the path toward a successful and easier life, but the 'less traveled path' of a musician and free spirit.
Whereas Sonny's brother joins the army and then becomes a teacher, Sonny struggles to survive. The roads these two have taken are very different, and because of this, their relationship suffers—they lose touch for a number of years.
At the same time, however, there is something magical about Sonny when he plays the blues, and his brother is finally able to see the gifted artist and tortured soul when listening to Sonny "speak" on the piano.
Arthur Miller characterizes Willy Loman as a man who has also chosen to follow a path that those around him have not. He is forever reminded in his memory of his brother Ben encouraging him to follow his path and travel to Africa to mine diamonds. This seems too excessive a step for Willy, and he becomes a salesman instead.
However, what Willy perceives in his world of career (and family) is not necessarily what actually exists. He struggles financially, he believes things should be as they were thirty years ago when he first started out (which they are not), and his is unable to change as the times change.
Willy, like Sonny, does not follow the same path as those around him. However, whereas Sonny is able to find solace and a sense of self with his music (although he struggles with a heroin addiction), Willy can never seem to find anything in life that provides him with a sense of validation. Willy's inability to do so drives him to suicide by the end of the play.