Milly Thompson is an agent of the Bernardelli Insurance Society, and is a friend and assistant of Meryl Strife. Together, they were sent to investigate claims regarding the outlaw known as Vash the Stampede. Despite being of a considerably intimidating stature, she is genuinely kind-hearted and respectful to others, and she especially looks up to her friend Meryl. She comes from a very large family, of which she is the youngest (according to the anime), and writes letters to all of her family members on a regular basis - a task that she refers to as "The Milly Monthly."
Powers & Abilities
Her weapon of choice is a very heavy concussion gun, which she refers to as a "stun gun," that she hides under her coat. The gun fires off shots that deploy into large X-shaped claws that have been shown to have enough force to knock over a truck with a single shot.
Manga Vs Anime
She does not appear to have a relationship with Wolfwood in the manga, although events after his death do seem to indicate that she might have had a romantic interest in him. This relationship is somewhat more serious in the anime, and so she reacts to his death much more heavily than in the manga. It is even implied in the anime that she and Wolfwood slept together before he died.
Another slight difference between her manga and anime depictions is that she has blond hair in the manga, while she is a brunette in the anime. Vash has also stated in the anime that Milly may very well be smarter than Meryl at times, but she doesn't seem to be aware of it herself.