Sally Sweet: Janet Evanovich - Stephanie Plum Series
Sally Sweet is a cross-dressing "rockstar" that first shows up in Four to Score. He makes several other appearances in books down the line, too. I absolutely adore this character. He is great at solving puzzles, he shows up as a bus driver later on in the series, it's absolutely hilarious when he's trying to train himself to stop cursing.

Peeves: J.K. Rowling - Harry Potter Series
I realize this isn't mystery, but... I just had to add him in. (Especially since he didn't make it into the movies. So sad about that.) Mischievous, silly, and even helpful at times, I loved every single time this character popped into the story.

Waldo Butters: Jim Butcher - The Dresden Files
Alright, so it took a while for this character to pop into the series. And the first book he was in, he drove me bonkers. (If you aren't familiar with this series, it's a mixture of fantasy and mystery. There are wizards and werewolves and fairies... .and gangsters, and private investigators, and every book has at least two or three overall mystery story arcs that need to be solved.) He did, however, grow on me and is now one of my favorites. He's a medical examiner that's, at first, being chased by a necromancer (yay zombies!), and then later he's brought in randomly for any number of things. He's awkward, greatly enjoys polka, and has some great phrases that all of the characters choose to quote in some way or manner.