From Apogee:

 Game                      Name                    Comments
 ----                      ----                    --------
 Stargunner                The Ytimians
 Death Rally               Sam Speed
 Death Rally               Jane Honda
 Death Rally               Duke Nukem              Hero of many other games
 Death Rally               Nasty Nick
 Death Rally               Motor Mary
 Death Rally               Mad Mac
 Death Rally               Matt Miler
 Death Rally               Clint West
 Death Rally               Lee Vice
 Death Rally               Dark Ryder
 Death Rally               Greg Peck
 Death Rally               Suzy Stock
 Death Rally               Iron John
 Death Rally               Mori Sato
 Death Rally               Cher Stone
 Death Rally               Diesel Joe
 Death Rally               Mic Dair
 Death Rally               Liz Arden
 Death Rally               Bogus Bill
 Death Rally               Farmer Ted
 XenoPhage                 Mouth                   From Orus
 XenoPhage                 Nick                    From Earth
 XenoPhage                 Toad                    From Zong
 XenoPhage                 Bat                     From Fleder
 XenoPhage                 Spike                   From SFPN-10
 XenoPhage                 Worm                    From Moreau's world  *
 XenoPhage                 Squid                   From Calamis
 XenoPhage                 Selena                  From Earth
 Realms of Chaos           Endrick                 The male character
 Realms of Chaos           Elandra                 The female character
 Rise of the Triad         Taradino Cassatt
 Rise of the Triad         Thi Barrett
 Rise of the Triad         Doug Wendt
 Rise of the Triad         Lorelei Ni
 Rise of the Triad         Ian Paul Freeley
 Boppin                    Yeet
 Boppin                    Boik
 Wacky Wheels              Tigi                    The Tiger
 Wacky Wheels              Blombo                  The Elephant
 Wacky Wheels              Ringo                   The Raccoon
 Wacky Wheels              Razer                   The Shark
 Wacky Wheels              Uno                     The Panda Bear
 Wacky Wheels              Sultan                  The Camel
 Wacky Wheels              Morris                  The Moose
 Wacky Wheels              Peggles                 The Pelican
 Mystic Towers             Baron Baldric           *
 Hocus Pocus               Hocus Pocus
 Blake Stone: Strike       Robert Wills Stone III  Alias Blake Stone
 Blake Stone: Aliens       Robert Wills Stone III  Alias Blake Stone
 Duke Nukem II             Duke Nukem
 Alien Carnage             Halloween Harry
 Spear of Destiny          B. J. Blazkowicz        Full name William Joseph...
 Wolfenstein 3D            B. J. Blazkowicz        Billy Blaze's grandfather
 Bio Menace                Snake Logan
 Monster Bash              Johnny Dash
 Commander Keen: Aliens    Billy Blaze             B.J.Blazkowicz's grandson
 Commander Keen: Galaxy    Billy Blaze             Full name:  William Joseph
 Commander Keen: Vorticons Billy Blaze                         Blazkowicz II
 Cosmo's Cosmic Adventure  Cosmo
 Duke Nukem                Duke Nukem              Related to Harrison Stryker
 Major Stryker             Harrison Stryker        Related to Duke Nukem
 Crystal Caves             Mylo Steamwitz
 Secret Agent              Agent 006 1/2           A short Duke Nukem?
 Paganitzu                 Alabama Smith           Related to Nevada Smith?
 Arctic Adventure          Nevada Smith            His second adventure
 Pharaoh's Tomb            Nevada Smith            His first adventure

      
From 3D Realms:

 Game                      Name                    Comments
 ----                      ----                    --------
 Duke Nukem Forever        Duke Nukem              His fourth adventure
}Max Payne 2               Max Payne
}Max Payne 2               Mona Sax                Femme fatale
}Duke: Manhattan Project   Duke Nukem
 Max Payne                 Max Payne
 Shadow Warrior            Lo Wang
 Duke Nukem 3D             Duke Nukem              His third adventure


 * - Baron Baldric made his first appearance in the shareware game of the same
     name, by Animation/FX.
   - During development, Worm was called Jack.