I don't really tend toward character-specific playlists so much as canon-specific playlists, or occasionally ficverse-specific playlists. (When I start soundtracking, I know I'm doomed. XD)
I have... three various Rent-inspired playlists (yes, I know the canon's a musical, that didn't stop me!), one Sneakers playlist that I posted on milli_recs a while back, and one Pyramids soundtrack. Oh, and two Music With Rocks In mixes.