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Name: Midna
Aliases: Twilight Princess
Species: Twili
Midna is a Twili who accompanies Link for much of Legend of Zelda: Twilight Princess as an imp, either in Link's shadow or riding on his back as a wolf.
In terms of character role, she is there for two reasons: (1) to provide in-game help and exposition, (2) to react verbally to situations in-game in Link's stead. She is also a partial subversion of the Zelda tradition of having a character tag along to provide information about the world, since, being from the Twilight Realm, she actually knows very little about Hyrule. Instead she fills in some background information about the Twilight Realm, Twili and history of Twilight Princess.
Midna is also more genre-savvy than any of the other characters, and makes several comments lampshading Zelda conventions; for instance, demonstrating a conveniently open window, "This village is full of idiots"; she also says to Link, when she reverts to her true form, the very cat-got-your-tongue "Am I so beautiful you've no words left?"
In-world, Midna forms a close bond with Link, whom she originally had an edge of disdain for, and a mutual understanding with Princess Zelda, in some ways her opposite, and who she at one point in the game dubs not much better than Zant. Midna is a very potent example of character development in video games, as she is initially apathetic about the fate of Hyrule, and teasing to the point of abrasiveness, but is later given several shades and an organic motivation to protect Hyrule as well as the Twilight Realm (finally summed up in her destroying the Twilight Mirror, despite its being the only way she could see Link and Zelda again).