I delighted in Thud. Oddly enough, it was the first Discworld Novel I ever read. (I was originally turned of Terry Pratchett by a novel called "The Zombie King", which apparently not only is not a work of Terry Pratchett, but which I have been unable to find anywhere since. Odd that. That and a short story he did which I found utterly distasteful.)
I love Vimes, with the Death Sagas a close second. Rincewind is one of my least favorite leads. Thud is my favorite novel of discworld. My second-favorite is Hogfather, it just filled me with sheer delight.
Actually, my favorite character, not protagonist, is Death's daughter. Not enough beautiful fat chicks in today's literature. =(
Terry Pratchett is awesome because he rolls everything I desire in books into one.
Fantasy, first and formost.
Comedy, enough to make me laugh till I cry, with a parody not only of fantsy, but of comedy and parody, and fiction in general.
Scifi, elements of. See Pyramids, Strata, etc.
Horror. He uses very careful measures of it, rarely, but it's there, and it works. See the House in Hogfather.