I'll work on lists like this for all the episodes. Bold characters appear for the first time. Characters with an asterisk* appear in flashbacks or telepathic communication.
Season 4, Episode 1
Frame:
Bilbo
Gandalf
Balin
Main Story:
Turgon
Idril
Other Elves - setting up Fingolfin's camp
Ecthelion - helps Turgon set up camp; one of the ten guards Fingolfin brings to negotiations
Glorfindel - helps Turgon set up camp; guards Fingolfin's camp; first to speak to Cirdan and Celeborn; one of the ten guards Fingolfin brings to negotiations
Fingolfin
Angrod
Fingon
Rhogrin - with Fingon and Fingolfin when they meet the Messenger from Maglor's camp; angry and wants to pursue Messenger but held back; guards Fingolfin's camp; working at forge before Fingolfin comes in to reforge Ringil; goes to Maglor's camp to accuse him of kidnapping Fingon; one of the ten guards Fingolfin brings to negotiations
Feanorian Messenger - delivers news that Maglor is king and of the burning of the ships; learns of the crossing of the Helcaraxe; flees in order to avoid confronting Fingolfin
Feanorian Guards - two appear with Feanorian Messenger; guard Maglor's camp; ten go to the negotiations
Cirdan
Celeborn
Falathrim
Fingolfinian Guards - guard Fingolfin's camp; seven go to the negotiations
Maglor
Curufin
Diriel - works with Curufin to advise Maglor; keeps peace between Curufin and Celebrimbor
Amras
Celebrimbor
Galadriel
Finrod
Thingol*
Melian*
Melkor (in Valinor)*
Feanor*
Finwe*
Gothmog
Mairon
Troll - forced into sunlight by Mairon and Gothmog; turns to stone
Orcs - forced into sunlight by Mairon and Gothmog
Morgoth
Falathrim Messenger - sent by Celeborn to Doriath
Off-Screen Voice 1 - worried about Fingon's disappearance
Off-Screen Voice 2 - worried about Fingon's disappearance
Thorondor - watches Fingon hike around Thangorodrim; carries Fingon up to the ledge above Maedhros; carries Fingon and Maedhros away from Thangorodrim
Caranthir
Celegorm
Huan
Maedhros
Orc Messenger - tells Morgoth that Maedhros has been freed; slain by Morgoth
I'm keeping track of the movements of some of the minor characters even if they do not appear for the first time. Bold characters appear for the first time. Characters with an asterisk* appear in Galadriel's vision.
Season 4, Episode 2
Frame:
Balin
Gandalf
Bilbo
Dis - confronts Gandalf about the deaths of Fili, Kili, and Thorin; follows behind Balin, Gandalf, and Bilbo
Dwarves - patrons at the inn Balin, Gandalf, and Bilbo visit
Main Story:
Maedhros
Maglor
Curufin
Fingolfin
Fingon
Turgon
Finrod
Angrod
Aegnor
Galadriel
Mablung
Sindar Guards - there when Trader Dwarves arrive
Norn
Dwarven Traders - carry their wares into Menegroth
Thingol
Beleg
Celeborn
Fingolfinian Guards - go with Galadriel and Celeborn to Doriath; patrol border; confront Diriel's party but allow them to enter the camp
Aredhel
Celegorm
Feanorian Guards - patrol border; ready to go on patrol led by Caranthir
Diriel - leads party bringing provisions to Fingolfin's camp
Female Feanorian Elves - led by Diriel; bring provisions to Fingolfin's camp
Huan
Ecthelion - leader of Guards that confront Diriel's party
Female Fingolfinian Elves - accept provisions brought by Diriel's party
Feanorian Elves - most of the Feanorian camp is there to cheer for Maedhros when he first emerges wearing Feanor's crown; interact with Maedhros and Maglor as they go around the camp
Caranthir
Morgoth
Mairon
Gothmog
Luthien
Sindar Elves - attend feast in Menegroth
Melian
Fingolfin's Army - the entire army goes over to the Feanorian camp
Bold characters appear for the first time. Characters with an asterisk* appear in Turgon and Maedhros' memories.
Season 4, Episode 4
Frame:
Ravens - appear throughout
Dwarf - packs up his wares from the market
Bard - greets Bilbo, Gandalf, and Balin; takes Bilbo, Gandalf, and Balin on a tour through Dale; greets Dain; confronts Dain about his militarism; greets Thranduil
Bold characters appear for the first time. Characters with an asterisk* appear in Telchar's story.
Season 4, Episode 6
Frame:
Elves - present at feast
Men - present at feast
Dwarves - present at feast
Bard - present at feast
Dain - present at feast; asks Gandalf about translating document
Thranduil - present at feast
Gandalf
Bilbo
Main Story:
Cirdan
Turgon
Talagand - (Salgant); leads the group of Noldor Craftspeople that go with Cirdan
Teleri Sailors - sail
Noldor Craftspeople - travel with Cirdan's people to Eglarest
Gwilwileth - Thuringwethil's Noldo disguise; tells CIrdan that Feanor burnt the ships; reveals clues about the Noldor stealing the ships from the Teleri
Orodreth
Meril - marries Orodreth
Meril's Father - attends Orodreth and Meril's wedding; happy about friendship between Noldor and Sindar
Meril's Mother - attends Orodreth and Meril's wedding; happy about friendship between Noldor and Sindar
Edhellos
Angrod
Galadriel
Aegnor
Finrod
Guards - guard Angrod and Edhellos; attacked by Cats
Cats - attack Angrod and Edhellos' party; capture Angrod and Edhellos
Tevildo
Fallen Elves - take Angrod in and out of his cell for torture
Dwarves - follow [Dwarf Leader] and Telchar; encounter Caranthir and his Elves
Telchar - leads party of exploring Dwarves; encounters Caranthir; befriends Caranthir; tells story of Eol
[Dwarf Leader] - leads party of exploring Dwarves; encounters Caranthir
Eol* - forges Anglachel and Anguirel; argues with Telchar
They look a bit different, more like greyskinned, hunchbacked, haggard elves rather than the burly, muscular ghoulish guys we chose the orcs to look like...
Bold characters appear for the first time. Characters with an asterisk* appear in flashbacks as Celebrimbor and Orodreth tell each other stories and in Edhellos' visions as the Spell of Bottomless Dread is placed on her.
Season 4, Episode 8
Frame:
Dragonguard - goes back to Erebor
Dain - goes back to Erebor; confronted by Dis; gives Dis a workshop
Dori - guards gate of Erebor
Nori - guards gate of Erebor
Dis - confronts Dain about the lack of commemoration for Thorin and Fili and Kili; receives workshop from Dain
Thorin Stonehelm - Offered to Dis by Dain as her first student
Main Story:
Celebrimbor
Diriel
Prospectors - search for ore with Celebrimbor and Diriel; get attacked by Orcs and Werewolves; some are killed; some are captured; some are with Celebrimbor
Damrod- goes with Diriel; captured; helps with escape attempt; Diriel saves him from the Spell of Bottomless Dread
Prospector - stays with Celebrimbor
Edhellos
Tevildo - tortures Edhellos; present when Morgoth returns
Mairon
Angrod (actually Mairon in disguise)
Gothmog - complains that Mairon's interrogations of Edhellos are not going anywhere; present when Morgoth returns; mocks Mairon for his lack of success in front of Morgoth
Orodreth
Maedhros
Orcs - capture Diriel and her Prospectors and take them to Angband
Werewolves - capture Diriel and her Prospectors and take them to Angband
Prisoners - Elves that have been captured and brought to Angband before Diriel gets there
Ammale - wears distinctive yellow shirt; healer; found dead by Orodreth and Celebrimbor
Flinding - servant of Celegorm; befriends Diriel; found dead by Orodreth and Celebrimbor
Thuringwethil - present when Morgoth returns
Draugluin - present when Morgoth returns
Boldog - present when Morgoth returns
Balrogs - present when Morgoth returns
Morogth's Court - present when Morgoth returns
Morgoth
Sinda Prisoner 1 - convinced to help with the escape attempt by [Noldo Prisoner 1]; found by dead Orodreth and Celebrimbor
Vampire - notices Orodreth and Celebrimbor as they approach Angband
Broken-Ankle Prospector - breaks ankle when he falls into the prison pit; tries to help with the escape attempt
Angrod (real Angrod)*
Noldor* - cross Helcaraxe; present for Feanor's speech in Tirion
Yes. Edhellos was left for Celebrimbor and Orodreth find among a pile of dead bodies, all of whom were prisoners from the pit. Those three characters will be recognizable to the viewers, although Celebrimbor only recognizes Prospector 3.
Bold characters appear for the first time. Characters with an asterisk* appear in flashback as Orodreth tells about Edhellos' recovery and in Turgon's dream.
Season 4, Episode 9
Frame:
Dain - goes to Ravenhill and talks to Roac
Ori - leader of the Dragonwatch on Ravenhill
Lookouts - part of the Dragonwatch on Ravenhill
Roac - talks to Dain and convinces him to go back to Dale
Main Story:
Celegorm
Huan
Boldog - leads first army of Orcs
Orcs - fight in the Dagor Aglareb
Trolls - fight in the Dagor Aglareb
Feanorian Scouts - keep watch on Thangorodrim with Celegorm
Finrod
Orodreth
Meril - asks Orodreth about Edhellos; helps healers during battle
Edhellos*
Angrod*
Aegnor*
Edhellos
Angrod
Aegnor
Dorthonion Captains - present while Angrod, Aegnor, and Edhellos discuss strategy; fight in the Dagor Aglareb
Arminas - leads party of Dorthonion Scouts that returns with news of the Orcs' movements; fights in the Dagor Aglareb
Dorthonion Scouts - follow Arminas
Dorthonion Messenger - wears distinctive necklace; volunteers to take a message to the Feanorians; killed by Edhellos
Fingolfin
Hithlum Army - fights in the Dagor Aglareb
Fingon
Aredhel
Turgon
Galdor - delivers letter form Cirdan
Hithlum Messenger - delivers Fingolfin's message requesting Turgon's aid
Glorfindel - present when Turgon receives Fingolfin's message; excited about going to war; has dream about Vinyamar; defends Vinyamar
Ecthelion - present when Turgon receives Fingolfin's message; excited about going to war; has dream about Vinyamar; defends Vinyamar
Egalmoth - present when Turgon receives Fingolfin's message; defends Vinyamar
Penlod - present when Turgon receives Fingolfin's message; defends Vinyamar
Talagand - present when Turgon receives Fingolfin's message; defends Vinyamar
Duilin - present when Turgon receives Fingolfin's message; defends Vinyamar; dives off a cliff to avoid some Werewolves
Edrahil - sent by Finrod to request aid from Doriath
Minas Tirith Soldiers - fight in the Dagor Aglareb
Hithlum Captains - a few captains who stay at Barad Eithel with Aredhel
Captain 1 - reports details about the second Orc army to Aredhel
Rhogrin - convinces Aredhel to let him be the messenger to Fingolfin; captured; overhears Mairon and Gothmog in Angband
Elenwe* - calls Turgon to come back to Vinyamar
Werewolf* - howls
Guilin - sent out by Finrod to scout in the Fens of Serech
Hithlum Soldier 1 - reports Orc attack on the eastern flank to Fingolfin
Vampires - fight in the Dagor Aglareb
Fingon's Archers - shoot at Vampires
Hithlum Soldier 2 - requests aid from Finrod
Gothmog - leads second Orc army; kills Edhellos
Balrogs - kill Angrod
Dorthonion Soldier 1 - asks Edhellos if she is okay; dies
Werewolves - attack Vinyamar
Idril
Curufin
Celebrimbor
Prospector 2 - dies
Amras
Feanorian Cavalry - fights in the Dagor Aglareb
Feanorian Infantry - fights in the Dagor Aglareb
Maedhros
Caranthir
Mairon
In the alternate version, there are no Balrogs, and Mairon kills Edhellos.
Bold characters appear for the first time. Characters with an asterisk* appear in flashback as Dwalin tells of the construction of the Dragon-proof gates.
Season 4, Episode 10
Frame:
Bard - talks about Dale's economic problems; discusses document
Ragna - talks about Dale's economic problems; discusses document
Gandalf
Dain - discusses document
Balin - discusses document
Thranduil - discusses document
Bilbo
Dwalin - tells Bilbo about the progress on the Dragon-proof gates
Dwarves* - work on the inscriptions for the gates
Main Story:
Ecthelion - fights leftover Orcs; talks with Curufin and Caranthir; encounters Sindar
Hithlum Soldiers - fight leftover Orcs
Curufin
Caranthir
Feanorian Archers - fight leftover Orcs
Beleg
Mablung
Sindar - arrive too late for the Dagor Aglareb; camp near Tol Sirion
Edrahil - returns with Sindar; recognizes Ecthelion
Noldor Army - combined forces of Fingolfin, Fingon, Aredhel, Finrod, Aegnor, Maedhros, Maglor, Amras, and Celegorm; return from Angband; camp near Tol Sirion
Finrod
Fingolfin
Maedhros
Fingon
Aredhel
Aegnor
Orodreth
Maglor
Celegorm
Amras
Celebrimbor
Turgon
Idril
Cirdan
Meril
Turgon's Guards - travel with Turgon to Barad Eithel and Minas Tirith
Huan
Telchar - forges Narsil
Fingon's Guards - travel with Fingon to Barad Eithel, Dorthonion, and Himring
Tirwen - Fingon's new lieutenant, travels with guards; wonders why a fortress in Dorthonion is abandoned
Dreamer - a dream figure that switches between Turgon and Finrod