Since a full listing of all mythological characters would be tens of thousands of entries, I believe the Mythological Characters page probably should not attempt such an extensive undertaking. Not that anyone intended to do so, but I just wanted to put this notion out there so we'd all be using the same structure.
Other pages may include portions of such a hypothetical list, such as the lists of gods and heroes on the Greek Mythology and Roman Mythology pages.
IMHO, the Mythological Characters page should only include links to existing pages about mythological characters, no dead links to pages we intend to make (unless you're about to make it within minutes of posting the link). That way it remains a useful index of characters we've devoted pages to, with a high signal-to-noise ratio. If this page tried to include every possible mythological character, the list would be extremely long, hard to search through, and mostly comprised of characters we have no useful data about on this wiki.
If anyone has a strong opinion (or helpful ideas) please chime in, but the above seems to me to be the best way to structure this topic.