The Killing Dance features the following major characters.
- Anita Blake: Anita's primary developments in this novel are romantic, as she attempts, unsuccessfully, to forge a life with Richard, then ultimately selects Jean-Claude. She also experiences significant political developments, as her developing powers draw her deeper into Jean-Claude's vampire power structure and into the political world of Richard's werewolf pack.
- Jean-Claude: Jean-Claude continues to present something of an enigma. Although he claims to love Anita, the character of Sabin serves as an example of the danger of absolute love to a vampire, as does Jean-Claude's story of the tragic ending of his love affair with Asher and Julianna. Although he may well be in love, Anita is well aware that Jean-Claude remains very calculating, and that, as usual, the events of The Killing Dance seem to work out to Jean-Claude's benefit more than anyone else's—by the end of the novel, Anita is Jean-Claude's lover alone, Jean-Claude's rivals, Marcus and Raina are dead, and Anita and Richard are bound to Jean-Claude as his human and animal servants.
- Richard: This novel underscores Richard's essentially tragic nature. Although Richard is extraordinarily blessed—phenomenally powerful, fantastically handsome, in requited love with his apparent soulmate—he lacks the essential self-knowledge needed to resolve his crisis. Richard is unable to integrate his human and werewolf natures, and this tragic flaw haunts him throughout the series. This novel, whereRichard finally reveals his true nature to Anita and is rejected, represents the beginning of a long slide for the character that has yet to resolve.
- Edward: Edward is his typical self—an inscrutable and deadly serial killer. However, in this novel, he continues to show hints of some other emotional existence. In particular, his fondness for Anita begins to look something like friendship, and to suggest the possibility of an emotional inner life.
Recurring characters in The Killing Dance include:
- Reappearances of RPIT members Dolph Storr, Zerbrowski and the introduction of RPIT's first witch Tammy Reynolds. As Anita's relationship with Jean-Claude becomes public knowledge and her public death toll rises, Dolph begins to show seeds of the distrust that would manefest between them over the course of the next several novels.
- The reappearance of the vampire Willie McCoy and the introduction of newly arrived vampires Damian and Liv.
- The reappearance of shapeshifters Rafael, Lillian, Christine, Jason and Stephen and the introduction of Stephen's twin brother, the wereleopard Gregory, new pack enforcer Jamil, and pack member Sylvie.
- Miscellaneous other characters, particularly Catherine Maison-Gillette, Mrs. Pringle and Monica Vespucci.
Non-recurring characters include:
- Police detectives Greeley and Branswell .
- Pack members Heidi and Neal .
The death toll in The Killing Dance includes:
- The dark mirror to Anita's own triumvirate: Sabin (shot by Anita); Dominic Dumare (shot by Edward) and Cassandra (shot by Harley and/or died when Anita killed Sabin).
- Jean-Claude's vampire flunky Robert (heart torn out by Dominic).
- Assassins for hire Jimmy "Jimmy the Shotgun" Dugan (a cheap local thug) and "Annabelle Smith" (a pricy international assassin), both killed by Anita.
- Local lycanthropes Sebastian (shot by Edward); Marcus (killed by Richard in battle of succession); Gabriel (stabbed by Anita); and Raina (shot by Anita).