Walden is an intensely reflective book that follows Thoreau as he ruminates on his beliefs and pretty much everything else in life. It isn't the clothes that make the man; it's his thoughts and opinions. That is probably why Thoreau has only one outfit, and thousands and thousands of words. Since Thoreau is the star, there are few other characters in the book, but when they do appear, they, too, are characterized by what they think and believe.
Thoreau is quite opinionated when it comes to human beings and how they should think and live. In fact, part of his mission is to tell us that what we believe is important, worthy, and good is actually quite the opposite. Thoreau tells us directly what to think about people and their way of life. In a famous line, he tells us that "[t]he mass of men live their lives in quiet desperation" (Economy.9). He doesn't give us a lot of details that hint or suggest at their desperation. He just tells us that they're desperate. That's direct characterization, from a pretty direct guy.
Walden is a lifestyle book (which, in a twisted way, makes it the precursor to Martha Stewart, et al.). Thoreau operates his private experiment on the premise that the way that you live your life – from your dietary habits to the way you spend your time – reflects your core values. For Thoreau, too many of us have the wrong habits: we indulge in tasty food, we live in homes with more than one room, we spend most of our time working to maintain our luxurious (at least by his standards) lifestyle. Thoreau wants to show us how to cultivate the habit of living well, and that means adopting habits of asceticism (i.e., doing without pleasures) and reflection. Interestingly, most of the characters that take up any significant space in the book remain unnamed. They are only identified by their profession – poet, philosopher, woodchopper. Their identity comes from their way of life, not from their names.