Well, this series is really all about tragedy, so there's a lot to choose from there. But let's see, who would be my most tragical of tragic characters? Ok:
GotM:
Lorn (the book showed her losing any semblance of being her own person, making her own decisions, and then dying a senseless death at the whim of the gods)
DG:
Felisin (caught in something unasked for and which she didn't fully comprehend, her sister's 'betrayal' leaving her scarred for the rest of her short existence and unable to trust anyone - including the people who had a chance to save her)
MoI:
Hmm, surprisingly this is a tough one. Itkovian isn't tragic in the strict sense, as he takes on his burden willingly. A controversial choice might be Pannion - after all - he has spent an eternity of eternities being tortured inside a rent, but he does have a fairly happy ending on the other hand. I guess then it would have to be Toc the Younger - caught up in things which are well over his head, going through the most excruciating torture ever, and finally sacrficing himself for a wolf...albeit a wolf god...and he does get a new body
HoC:
Felisin cont. - So, what's up with her now? Ah, possessed by an insane god, everyone around her scheming her demise and then...killed by her own sister. Gosh darn.
MT:
Another great one for tragedy - strong arguments could be put in place for the entire Sengar clan, and perhaps Hannan Mosag too (after all, he was just trying to protect his people, and look where that ended up). But, of course, it would have to be Trull Sengar - a single voice of reason to whom no one listens, having to watch his entire family and people tear itself apart even as they become the thing they most despise, and after all that, being left alone with the most impossible of choices - kill your own brother, or keep him in agony for his whole existence.
tBH - Another controversial choice for this might be Taralack Veed. Yes, he's nasty and up to no good, but what made him that way? Tragic upbringing/events amongst his clan. And then at the end he realises the foolishness of what he's seeking to unleash, but feels helpless to do anything about it. The only chance for his life to continue is to keep himself around Icarium - the guy who's also most likely to get him killed. A less controversial choice might be Heboric - a pretty vague quest to rid himself of the jade, ending with him feeling the pain of thousands upon thousands of souls. Poor sod, he just wanted to be a historian

But I think I would have to go with Pearl - ironically, after hiding knowledge from Tavore, his own demise came from his love for his partner in that secret whom he wrongly thought dead. Thinking no good of anyone anymore, he saw power as head of the Claw as his only way to fix the faults he saw in everyone else. The tragedy being that Lostara Yil was oh so very alive still, quasi-Romeo and Juliet.
RG - And another maelstrom of tragicality. One could put up the whole of Fear Sengar's and Silchas Ruin's group as an gestalt tragic whole. I think, in the end, even with Beak (who, let's face it, does have a happy ending) and Toc 'call me Toc the Unlucky', it would have to be Rhulad Sengar for me. A slave to his desires and to his evil Chancellor, a man to whom dying became a drug, losing his very self to the sword and the madness. It's Rhulad's POV's that do it for me - we get to see an Edur who is really little more than a child, afraid and very very alone, feeling betrayed by his closest kin in a Felisin-like manner and at the same time consumed by the overwhelming guilt he feels over their fates. Then there were all the opportunities to save him that came to naught - Udinaas, Nisall, Tomad and Uruth, and Bruthen Trana. And then the final blow, an impossible choice much like Trull's earlier in the series - pick up the sword and save your brother (little knowing he's already gone), but become the King in Chains once again, or refuse and gain some salvation for your soul, but possibly letting your brother die. The fact that he tries to regain the sword once again shows both that this was a man who had not forgotten how to love and care, and at the same time how very tragically wrong all his choices always were.