Tacitus's Annals are a history of Imperial Rome, so they contain many more characters than could be profitably discussed here, or indeed in a book. There would be even more characters to discuss, but much of Annals is missing. We know Tacitus wrote sixteen "books" in this work, but four whole "books" and parts of four others have been lost. What's left is a more or less thorough account of the history of the reigns of Augustus Caesar and the emperors Tiberius, Caligula, Claudius and Nero. You should read Annals yourself, and you should check out the excellent study guide available on this website. Here is a brief analysis of the main characters.

The main characters of Annals are, naturally, the Roman emperors, but Annals isn't about them so much as it's about what happened while they were in charge. Other important figures of Roman history, like the generals Germanicus and Agrippa, are also present. Important non-Romans put in appearances too. There are sections about "Christians," who, in the first century CE, were still considered unusual but increasingly affected the course of Imperial history (first in the provinces, but later also in Rome itself). Traditional Roman gods and goddesses also figure in Tacitus's story, as do oracles and omens.

The cast of characters is long, as you would expect from a work attempting a complete history of anything. The main characters are the emperors, but don't focus on them too much. They're figureheads. They set the tone of a period, and they act in ways that affect the course of events, but they're not the prime movers. In the case of Rome, pay attention to the Senate, the army, the Equines or wealthy landowners, and Rome's enemies, particularly the Gauls, the Germanii, and the Britons. If you read Tacitus to build context, to get a general picture of his period, you'll be well served. If you read it to get the definitive account of anything, or to read about the life a particular person, you might be left wanting.