I might as well go over the available characters, as well.
Wilson:
Wilson the Gentleman Scientist is the first available character in the game. He requires no playing time to unlock, has average stats across the board, and no significant disadvantages. His primary advantage, pragmatically speaking, is that he is the only character that can grow a beard. If you do not shave the beard, in 16 days it will grow so large as to cover his entire body and give him good added protection from the cold of winter. Shaving the beard at any stage of growth provides a small boost to sanity.
Willow:
Willow the Firestarter is the next character unlocked after gaining 160 exp (surviving a full day gets you 20 exp). This young pyromaniac has the advantages of being immune to fire damage, and starting with her own lighter which functions as a weak but inexhaustable torch - which can be used for light or for setting things on fire. However, her max sanity is much lower than Wilson's, and the further her sanity drops, the more likely she is to start fires at random.
Wolfgang:
Wolfgang the Strong-Man unlocks at 320 exp. When his belly is full, he moves faster, hits harder, and has more max health than any other character. However, Wolfgang is terrified of the dark, and things that go bump in the night - he loses sanity 10% faster where darkness or monsters are involved. Also, he gets hungrier faster, and if he goes too long without eating, he gets wimpy.
Wendy:
Wendy the Bereaved unlocks at 640 exp. She had a twin sister, Abigail, who died, and subsequently she is a very morbid little girl. She has the same basic stats as Wilson, but loses sanity more slowly when dealing with the dark or the supernatural. She also carries a wilted flower in her inventory which takes a few days to bloom, and when it does, she can use it to summon the ghost of her sister, who will then follow her around and assist her in combat. To balance this, Wendy's own attacks are 25% weaker than most others.
WX-78:
WX-78 the Soulless Automaton unlocks at 960 exp. It starts off extremely weak, but by eating gears, it can upgrade to become very strong, eventually even stronger than Wolfgang. WX-78 can eat spoiled food with no adverse effects. It is damaged by being out in the rain, but if it gets struck by lightning, it will instantly heal it to full, give it a 50% movement speed buff, make it a light source and make it immune to freezing, all of which lasts roughly 1 day.
Wickerbottom:
Wickerbottom the Librarian unlocks at 1280 experience. Being a knowledgable person, she can craft items at 1 tier lower crafting station than would normally otherwise be required, has extremely high maximum sanity, and can write books that have various effects when read. However, she is an insomniac and cannot sleep. Also, she is extremely adverse to food spoilage - eating any food that is not fresh will have severely reduced benefits, and if the food is spoiled it will lower her sanity as well.
Woodie:
Woodie the Lumberjack unlocks at 1600 exp. Being a lumberjack, he's extremely adept at chopping down trees, and even has a special named axe which never degrades or breaks. However, he suffers from a bizarre curse... whenever the moon is full, or he gets too carried away with chopping wood, he will turn into a Werebeaver. That... can't be good.
Wes:
Wes the Silent... just... don't bother. Wes was put into the game as a challenge to people who thought Don't Starve was too easy. He can't talk, his stats are awful, he does less damage, loses sanity faster, gets hungry faster, and overall just is awful. His only advantage is that he can make balloons which act as explosive decoys. He's unlocked by performing certain tasks in single player Adventure mode.
Maxwell:
Maxwell the Puppet Master, aka "William Carter," is also unlocked by performing certain tasks in the single player Adventure mode. He is dapper, but frail, and can fragment his own mind to make shadow puppets that do his bidding. He also starts with very powerful items in his inventory to give himself an advantage early on. His dapper style makes his sanity regenerate quickly, though he has the lowest max health in the game.
Wigfrid:
Wigfrid the Performance Artist unlocks at 1920 exp. She looks fearsome, but is actually a method actor immersed in her role as a Valkyrie. She has high health, starts with good combat equipment, has good damage and defense bonuses, and gains health and sanity from killing things. However, she can only eat meat. Foraging for berries and veggies, or food grown in farming, will be useless to her.
Webber:
Webber the Indigestible is unlocked from performing certain actions in the Reign of Giants DLC. As a monster, he can befriend spiders in the world by feeding them which will convince them to follow and help him in combat, but other creatures which would be hostile to spiders are also hostile to him. He can also grow a beard made of silk. It grows faster than Wilson's beard but only provides 3/4ths the warmth in winter, and shaving it provides silk instead of beard hair. His max sanity is also on the low side, so you have to be careful about not going insane quickly.