Tools of Characterization
Chekhov isn't above telling it like it is. Of protagonist Gurov he writes, "In the society of men he was bored and not himself, with them he was cold and uncommunicative; but when he was in the company of women he felt free, and knew what to say to them and how to behave; and he was at ease with them even when he was silent" (1.5). Every detail of his transformation through his love for Anna is revealed through this sort of direct exposition. We know when he's bored, enticed, curious, sad, happy, or frustrated, because the author tells us directly.
As we discuss in "Character Analysis," it's significant that Gurov studied the arts but now works as a banker. This is representative of his stifled creativity, and reminds us of the "curiosity for life" that drives him into the arms of woman after woman. Anna, as far as know, is a housewife, which speaks to her own sense of confinement and boredom. Check out what we have to say on the fence around her house in "Symbols, Imagery, Allegory."
Sex and Love
They are the main topics of "Lady with the Dog," so it's no surprise these ideas are used to characterize both Anna and Gurov. Much of the initial information we get about Gurov has to do with his marriage, his affairs, his opinions about women and sex. Similarly, much of what characterizes Anna after her first tryst with Gurov is her reaction to the sex (shame, for the most part). We get the strongest sense of who these characters are from their reactions to sex and love.