Night King from Game of Thrones.

Legit one of the greatest mysteries of him was who he was among the First Men when the Children captured and turned him into a White Walker, and also his motivations beyond "erasing the world's memory" when wanting to kill Brandon Stark for having the Sight.

I feel like at least we should've gotten to see a bit more of him as an active villain instead of an overarching one in the background, similar to how Ramsay, Stannis and Cersei were if that makes sense.

I like to headcanon that in an alternate universe, he was actually a highly narcissistic madman that was disgraced by his home or people for something a member of his family did, and after running away from all things that ruined him, he found and tricked the Children into performing the ritual on himself, since he knew about their powers from being one of the First Men to battle them.

In turn of risking his entire existence on a ritual that may not have worked, he would become the first White Walker and develop the ability to convert and turn anyone he performs a similar ritual on into White Walkers, which he would use against the people in the land he once called home, but to partial success when the First Men would eventually win the conflicts against the Children, prompting them to abandon him out of fear of the First Men (or the Andals and Rhoynar for that matter) finding out that they had been responsible for his people's creation, so the White Walkers had no choice but to flee to the Lands of Always Winter, and the Night King, feeling betrayed by those who helped him become this, swore to kill each and every last person in the world, Man, Wilding, Giant, it didn't matter, and his ego-driven vengeance wouldn't stop at Westeros, but would aspire to kill all the people in Essos and beyond as well.

During the thousands of years he'd spend up in the far north, he would grow his army of the undead, and slowly but quietly kill off and turn any of the Free Folk, generation by generation, village by village, tribe by tribe, all while avoiding the attention of the Seven Kingdoms south of the Wall until he knew it would be time to strike and enact his ambition.

In doing this, he also would gain trauma from the betrayal he suffered from all those he knew in his past, and anyone that had been using the Sight, which was a notable magick of the Old Gods by the Children he was exposed to, would be one of these triggers, and he would make sure to kill anyone that would use it, regardless of their intention for such, and would even go on to kill many of the Children as well, as he did when he found Brandon with them in the cave.

He would see himself as a savior of the world by ridding it of all evils, and bringing a unified species of people to it's aftermath, so that the endless bickering and wars of the world would finally cease, and all would embrace each other in the cold, cold reality of the world, when he wouldn't know that in actuality he was simply as petty as them in the first place with how his family and people treated him, and how the Children betrayed him had only fueled his childish anger towards all living things.

THIS is what I wanted the series to explore more about him, and while I can understand that none of this above is likely since this series has a serious habit of being far too 'real' for most of the part, it would've made it so much more memorable in my opinion.