The characters are made up mostly of caricatures. Caricatures, in this case, oddly enough, of the actors performing them rather than the role that needed to be filled in the story. Janeane Garofalo plays the part of an FBI agent assigned to investigate the various murders that begin turning up in a small town. Like most of her characters, she is disillusioned, sarcastic, and continually amazed at the sheer idiocy with which she is surrounded. Vince Vaughn delivers a wonderful performance as the villain, with his endless charm making him the perfect actor to play the part of a serial killer. `They're all charming,' as they say.
As is often the case, Joaquin Phoenix also plays a rather unenviable role, as he did in movies like 8MM, To Die For, and Gladiator. He is a good guy in Clay Pigeons, but after you watch the movie it becomes obvious that this guy must just have a serious problem with bad luck. A good friend of Clay's (Phoenix) kills himself in a remote location early in the film because of an affair that Clay has been having with his wife, forcing Clay to alter the scene to make it look like an accidental death in order to avoid looking like he did it to get rid of him so that he could be with his wife.
It's strange to notice the absolute absence of any kind of remorse or sadness that this wife shows after her husband kills himself. Clay is freaking out, and this vicious bitch wants to continue their sexual escapades as though nothing has even happened. When Lester Long (Vaughn) shows up, he strikes up a friendship with Clay and, through a bizarre fishing incident, becomes irreversibly intertwined with Clay's murders. Basically they are stuck working together for the rest of the movie no matter how much Clay's hatred for Lester grows. You'll just have to watch the movie to see why.
I thought that the ending was a tiny bit of a copout, if only because it involves a situation at a distant roadside diner/café that ends too perfectly. This situation just had way too many variables that could have happened to have come off exactly as it was expected to, but the movie was still so good that it is more than worth it. If you are looking for a great thriller (and you've already seen The Way of the Gun), Clay Pigeons is the way to go.