Hellboy is more rounded and more outright likeable, initially he has a seemingly generic personality [the gruff, sarcastic anti-hero]. But after closer inspection of the character he becomes more interesting, and you aren't just reading for the cool monsters any more, you're reading because you are legitimately invested in the character.
Abe's motivations are a little difficult to delineate sometimes, and his character doesn't seem to have as solid a foundation at times, perpetually shifting morally, emotionally etc. I also simply don't really like him, he's somewhat tedious.
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