Dostoevsky used the first person to great effect. The opening to "Notes From the Underground" is hard to beat as a succinct character study. It would hardly pack the same punch in third person:

"I am a sick man. I am a spiteful man. I am an unpleasant man. I think my liver is diseased."

In "The Dream of a Ridiculous Man," there is a similarly brilliant sequence:

"I am a ridiculous man. They call me a madman now. That would be a distinct rise in my social position were it not that they still regard me as being as ridiculous as ever."

God bless fucked-up, brilliant writers.

Elmer