I... never even really thought about that, I must say!
Now, of my Terraria characters... the only ones that are really of note are Jack Fairwind, Cydd, and Night Stalker. Even of these, the only one with a real personality to them would be Jack Fairwind - I always pictured him as an arrogant, dashing manner of a man. A winged sky pirate, who basically deprives whoever he sees fit of their valuables!
And even as wafer-thin a personality as that is, Cydd is essentially a bland wanderer-type, a man with no motives but to survive in an uncompromising world, with Night Stalker being a generic murderous creepy bastard, in accordance with his status as one of my PvP characters.
I have some more interesting characters, but they're not Terraria originals (although they have made their way into Terraria) - Cole, Orann, Cydd Coldtaint (no relation to Cydd), Coral Finnick, and Jordan Webster.
Of that motley lot, the only two with any relation are Jordan Webster and Cole - Jordan belongs to the same organisation as Cole, the Benefactorate, and so has vaguely heard of him. Cole, however, had the presence of mind to fake his own death and remove his arse from said organisation long before then!
So, even though some of my characters mean more than others, none of them really mean much of anything to each other. Perhaps I should rectify that!