The main character in the poem is the speaker. He is responding to the death of his love, Annabel Lee. Annabel Lee is another character, but she is dead. She died when a breeze from the sea came, “chilling and killing” her.
Although Annabel is not really a character in the present, her death has a great effect on the speaker.
And this maiden she lived with no other thought
Than to love and be loved by me. (lines 5-6)
It sounds like the two were very close, and very much in life. Her early death still affects him this much later. They were both young, so he probably expected to spend his life with her.
There are other characters that covet Annabel and cause her death, making the tone of the poem angry as well as sad. For example, the angels were envious of Annabel, according to the speaker.
The angels, not half so happy in heaven,
Went envying her and me-
Yes!- that was the reason (as all men know,
In this kingdom by the sea)
That the wind came out of the cloud by night,
Chilling and killing my Annabel Lee. (Stanza 4)
There is also mention of “demons down under the sea.” At the end, the speaker personifies the sun and the moon, saying their actions remind him of her.