Character Clues
Character Analysis
Names
The main thing that shouts "Hey! Everybody! This is an allegory! Allegory allegory allegory!" about The Pilgrim's Progress is the way Bunyan names his characters. Each and every one of them is a human version of an abstract concept, trait, or idea.
Bunyan uses these abstract names in a couple of different ways. One is the full character sketch. Examples of this are Mr. Worldly-Wiseman, Formalist, Hypocrisy, Talkative, Ignorance, and Atheist. These characters engage in full conversation with Christian and his friends along the road.
In these instances, Bunyan uses the dialogue that ensues to give you a kind of definition of the concept-name of the person. In Talkative's case, for instance, the name isn't quite enough to indicate the trouble. Plenty of lovely people are talkative—what's the big deal? Well through the dialogue (discussed more below), Bunyan is attempting to make you think of that abstract trait or concept differently (and, usually, more suspiciously).
Actions
Try thinking of a recent dream you had, or one that you particularly remember. Think of what it was about, who was in it, what stood out.
Chances are, the thoughts going on in your dream-characters' minds are not going to be on this list. We tend to remember actions and gestures, objects, things people say, maybe physical sensations. This is one way in which the dream-setting of The Pilgrim's Progress was particularly spot-on as a stage for allegory.
Because allegory works by representing something abstract in a concrete way, non-concrete parts of life (like thoughts) don't lend themselves to allegory. Actions, on the other hand, do.
The emphasis on what characters do is also very important to Bunyan's Christian ideals. We see this in the conversation with Talkative, where Christian points out how useless it is to talk the talk but never walk the walk.
Another great example is the case of Formalist and Hypocrisy. By having those two climb over the Wall of Salvation that borders the road to the Celestial City, Bunyan dramatizes the problem of their way of life. While they're happy to follow their own notions of law on the surface of life, in reality, they're cheating Christ's teachings about what really matters.
Or, on the positive side (sort of), think of Faithful. His acceptance of his fate and refusal to abandon his fidelity to Christ illustrate what it means to be faithful. Even if it means dying a particularly excruciating and drawn-out death. Yeesh.
Speech/Dialogue
There are many sections of this story that almost seem to read more like a play. The italicized names in most editions and the way one character's lines immediately follow another's make it look like a script.
Like a play, where—apart from stage directions—dialogue really is the only way that characters reveal themselves, The Pilgrim's Progress also heavily relies on speech to create a sense of personality in the characters.
Mr. Worldly-Wiseman is a great example of this. His condescending attitude toward Christian is really created by his tone, the way he talks down to Christian ("Hear me, I am older than thou" (P64)). Through speech alone, the way he talks about living "in credit and good fashion" and being "a man of very good name" (P75), we get a full picture not only of this man's personality, but also his values—two things that are often intertwined for Bunyan.
Another really important thing to think about here is the way Bunyan uses different kinds of speech. Not all talking is the same, as Talkative's characterization makes clear.
At the same time, the importance of the discussions between Christian and the Virgins at the Palace Beautifuland between him and his friends indicates that speech plays a real role in his development as a Christian.
At the Palace Beautiful, the Q&A format between Christian and each lady reads almost like a kind of Catechism (the traditional teaching model in the Catholic Church), but personalized to Christian's own experiences and thoughts about virtuous living.
When he meets Faithful, the exchange of stories between them is educational, and it's also the way they realize they can trust each other. Aww, they're bonding! Engaging not simply in "talk" but "discourse" is really revealing—not only of what a person thinks, but of who they are.