We don't have very many characters to learn about in this story…just Prince Prospero and the Red Death (who's barely a character anyway). But what little we do know of them we often learn through action. Prospero abandons his kingdom to live a life of wanton pleasure with 1,000 of his friends in a secluded hideaway. He's a party animal, as we can guess from his wild masquerade. And he's also quite the hothead: when he's offended by the guest in the Red Death costume, he orders him to be unmasked and publicly hung. When that doesn't work (because everyone's too nervous), he loses his cool and charges the Red Death with a knife.
As for the Red Death, he just "stalks" around and kills people.
The narrator tells us straight up that Prospero's might be a little bit "unhinged," though he doesn't tell us precisely whether he really is or not. As he puts it at one point: "There are some who would have thought him mad. His followers felt that he was not. It was necessary to hear and see and touch him to be sure that he was not" (6). He also tells us of Prospero's fanciful but artistic tastes, and his love of the bizarre.
Prospero's character is reflected in the abbey and the suite he's designed. The abbey, completely cut off from the world, displays his own lack of concern for his subjects. As for the suite, it's daring, dramatic, imaginative, and perhaps a bit deranged. More than anything else, it's through the brilliant inventiveness of his masquerade that we see Prospero's artistic side. And his madness.
The only real details we have of the Red Death are the details of his appearance. He looks like a dead body wrapped in burial clothes, wearing a corpse-mask, and he's covered in sprinkled blood. Oh, and there happens to be nothing under the costume, so he's got the whole "spectral" thing going on in a big way.
Prince Prospero's name makes us think of prospering – of wealth, wine, and festivities. In short all those things associated with living life to the fullest. That sets him against the Red Death. No big question about what his name means.
Prospero's name may also be an allusion to Shakespeare's character of the same name. The connection is surprisingly rich.