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We love Milligan. Sure he's kind of gloomy and the typical expression on his face is "profoundly sad" (3.4), but he's dependable, kind, and "would die before he let any harm come to [the kids]" (33.67). Plus he's got mad skills—so we've got mad respect.
He's a master of disguise, as the kids find out when he leads them underground to Mr. Benedict's house. As they emerge into the light, Milligan seems to disappear:
They had followed him out through the cellar doors, they knew that for certain, but whereas Milligan had been tall and straight in his battered hat and scuffed jacket, the children were now accompanied by a stooped little man with a big belly, wearing dark glasses and a bright yellow cap. (3.54)
Cool trick, right?
And he's also lightning fast (much like his daughter), as we see when the men in the maze attempt to abduct the kids. One minute he's there, and the next minute he's not, having "moved so quickly, and so unexpectedly, that no one had a moment to react before he was gone" (6.27). And then seconds later, bam—orrather, "swit, swit" (6.38)—Milligan shoots the men with tranquilizer darts and delivers his signature line: "Remember children, for every exit, there is also an entrance" (6.39).
This exit/entrance line is central to Milligan's character, as he's forever disappearing all of a sudden and then reappearing somewhere else just as abruptly. In the case of his daughter, Kate, it takes him eight years to reappear, but he does so nonetheless. And Milligan's absence from her life, when we finally realize who he is and why he went missing in the first place (blast ye, Ledroptha Curtain), really helps to bring home just how sinister Mr. Curtain and his plans are.
It's bad enough when Reynie recounts how much Mr. Bloomburg, the school inspector, loves his children—the children he doesn't remember now that he's living on Nomansan Island as Harry Harrison. But when we realize that Milligan and Kate have been victimized by the Whisperer as well, we get a sense of being personally wronged by Mr. C's schemes. These are characters we care about.
One other cool thing about Milligan is the sense of the unknown that surrounds him. From the first moment, when Reynie asks him, "Are you all right, sir?" and Milligan responds, "I'm afraid not, but that's neither here nor there" (3.4-3.5), we find ourselves drawn into his story (or lack thereof) and wondering what this man is all about.
The Mystery of Milligan's past—who he is, what happened to him, and what his real name might be—is just one of the secrets we hope to uncover as we read. And trying to guess about all of those things (which we couldn't help doing) is part of the fun of reading The Mysterious Benedict Society. So thanks, Milligan, for being a cool character—and for always coming back.