For some reason, Hamlet stands out to me more than any other of Shakespeare's plays. Rather than a story of deception or misunderstanding, it is a story of revenge and soul-searching. In many of Shakespeare's plays, the characters are impulsive - Romeo drinks poison the second he sees Juliet has "passed away." Othello believes what he hears about his wife's infidelity, and kills Desdemona without stepping back from his anger long enough to think about his actions. Richard kills everyone in his path without dreaming of the consequences. But Hamlet is different. He thinks about everything. He calculates, he ponders, and he tries to figure out what is right. (not to say that he doesn't have his moments where he strays from this path, however) This difference is one of the reasons why Hamlet as a play stands out to me so much. It's ironic, too, since he is deemed mad by almost everyone, though in Shakespeare, the ones speaking nonsense usually have some hidden meaning behind their words.
In Act I, scene ii, Hamlet is troubled by the very fact that he cannot be impulsive:
"O that this too too solid flesh would melt,
Thaw, and resolve itself into a dew!
Or that the Everlasting had not fix’d
His canon ’gainst self-slaughter! O God! O God!
How weary, stale, flat, and unprofitable
Seem to me all the uses of this world!"
He cannot commit suicide and take himself away from the pain he is in in a world that is "weary, stale, flat and unprofitable" because doing so is an act against his religion. He has to continue on and bear the situation he is in - that his mother married his father's alleged killer not too long after his father died: "...a beast that wants discourse of reason, would have mourn’d longer...She married:— O, most wicked speed, to post with such dexterity to incestuous sheets!" (1.2, 149-156) He is the first tragic character we've encountered that I actually like.