They've done the werewolf and it was pretty cool that they revealed Ethans actual name to be Lawrence Talbot, the same name as the character in the 1941 movie "The Wolfman" played by Lon Chaney, Jr.
I agree with Gadfly that Jekyll and Hyde might be likely and would be an interesting addition to the show. However, it's also possible that John Logan's reference to a "famous literary character" could open it up to any literary character including non-monster characters such as Sherlock Holmes, Jack the Ripper, Professor Moriarity, Fu Manchu, etc. all of which would fit in the timeline. Of course there's also the possibility of The Mummy, Creature from the Black Lagoon, or Hawley Griffin the Invisible Man.
The character selection could be limited if a literary characters name is not in the public domain and Showtime cannot get permission to use the character from the copyright owner.
Penny Dreadful is following in the same general "alternate universe" theme as the 2003 League of Extraordinary Gentleman movie. It also brought together various literary characters such as Mina, Captain Nemo, Allen Quartermain, Dorian Gray, and Jekyll and Hyde. While Penny Dreadful is following the same general theme it is doing it with better characters, actors, and story development.
I'm very interested in seeing this somber group get back together next season. On a minor note, I'm especially curious to see if they address the issue of Ethan Talbot and Lily Frankenstein. They do have to run into each other again sometime and should make for an interesting conversation.
Showtime has evidently renewed the show for a 9 episode third season. Maybe with one less episode hopefully the pace will pick up over the somewhat gradual pace of this last season.