Missy
I just finished the tenth season of the modern era of Doctor Who, and I have to say Missy is one complicated, tragic character.
A Time Lord known for her villainy and under the alternate name The Master, she went down a road back and forth of doing bad things and doing good. I won't spoil what path she ultimately chose, only that it packed a wallop.
There are a lot of complex characters in Doctor Who and in the tenth season alone but Missy stands out to me. I just really enjoyed her prescience and felt she was a much needed addition to the season.
Now to go back in time and watch her previous episodes one of these days.