Midna remains one of the most in-depth and well-developed Zelda characters to date. Unarguably one of the most plot-prominent sidekicks, she offered the perfect combination of charisma and support--even if said charisma was that of a sassy little punk for 1/3 of the game (still more tolerable than Navi's voice calls or Tatl's obnoxious shots at Link every time he wants enemy information).
First introduced in the story as a mysterious creature who Link, as a wolf, first meets in the Twilight-infested Hyrule, Midna breaks Link out of jail and offers to help him escape on the condition that he follow her orders. Eventually, they traverse throughout the rooftoops of Hyrule Castle into a tower which holds none other than Princess Zelda, who was forced to surrender her kingdom to the spread of Twilight by none other than Zant, the King of the Twilight Realm. After learning of this, Link is escorted back to his home by Midna. But, still in his wolf form, he was forced to continue following Midna's orders in order to return to normal.
After gaining a sword and shield at Midna's behest, they were on their way back into Twilight. In freeing Faron Woods from the spread of Twilight and returning Light to its area, Link had regained his true form, but continued following Midna's orders whenever the duo was forced to enter a Twilight-infested area, where Link would revert to his Wolf form.
Midna's objective for Link was to find the three pieces of the Fused Shadow, an artifact of ancient and ominous power. Soon enough, they found all three pieces, but after gaining the last piece, Zant, the cause of Hyrule's current peril, had appeared and attacked them, taking the Fused Shadows for himself, placing a curse on Link (rendering him a wolf), and exposing Midna, a being of shadow, directly to the power of light. Severely weakened and in mortal peril, Midna was taken to Zelda, who sacrificed herself to allow Midna to live within the realm of Light. It was here that the once-cynical and sarcastic Midna was humbled and touched by the courage and selflessness of the light-dwellers, and she began to understand the true circumstances of the event.
Midna accompanied Link in searching for the legendary Master Sword, powerful enough to break the curse on Link and return him to normal. After finally locating it, Midna humbly requested, not demanded, that Link aid her in finding an artifact known as the Mirror of Twilight, their last chance to find Zant. After a series of events, they made their way to the Arbiter's Grounds, where they found the mirror broken, only one fragment remaining in its place. They learned from the sages that Zant had fragmented the Mirror of Twilight to prevent any from reaching him, and that his power came from none other than Ganondorf, the wielder of the Triforce of Power, who they had banished to Twilight long ago.
In the search for the mirror shards, Midna told Link the truth of her ancestry, and that she was a descandant of the Twili, a race banished to Twilight for their defiant acts in ancient times. After gaining all four Mirror Shards, and restoring the Mirror of Twilight, it was revealed at last that Midna's true identity was that of the Twilight Realm's real ruler, the Twilight Princess. She had been cursed by Zant and turned into an imp, at which time she chose to seek out the one whose destiny it was to save Hyrule from peril. Her original intentions were just to use Link to find the Fused Shadow, but she now knew that the world of Light was just as important as her own world, and so Link and Midna entered the Twilight Realm, confronting and defeating Zant, regaining the Fused Shadow which Midna used to finish Zant off once and for all.
With nothing in the way of their final target, the supreme dark lord himself, Midna and Link travelled to Hyrule Castle, which was currently protected by a barrier of Twilight power. Utilizing the full power of the Fused Shadow, Midna transformed into a devastating beast used the newfound powers to tear through the barrier, opening their path to the castle. In the throne room lay none other than Ganondorf, whose power was fully restored. After a series of battles, Midna made a heroic move of risking her life to defeat Ganondorf by herself. Transporting Link and the newly revived Prinecss Zelda to safety in Hyrule Field, Midna donned the Fused Shadow once more, and did battle with the mighty lord of darkness.
However, Midna was defeated, and presumably killed by Ganondorf, The last remnant of the Fused Shadow (which was Midna's helmet crushed in his hand). After Ganondorf's defeat at the hands of Link, it was revealed that Midna was in fact alive, and the Light Spirits, Hyrule's Guardian Gods, had lifted the curse on her, returning her to her true form as the Twilight Princess. In a comical scene, she asked Link "Am I so beautiful that you have no words left?", to which Link simply smiled.
Returning to the Arbiter's Grounds, Midna bid her final farewells to Link and Zelda, reminding them to "never forget that there's another world bound to this one". Thanking them for their efforts, Midna directed her final words to Link, while shedding a single tear before breaking off and simply saying "See you later...". She vanished through the portal back to her world before her tear had shattered the Mirror of Twilight, destroying the one link between Light and Shadow forever.
Descended from the Twili race, a race which mastered the arts of dark magic, Midna possesses numerous special abilities. Even in her cursed form, she possessed magical powers like intangibility, teleportation, telekinesis, a badass ponytail which she could turn into a giant arm, and the ability to expand a small field of energy to trap foes so Link can finish them off all at once.
After regaining the Fused Shadow, Midna's power increased vastly, and with just a fraction of their power, she used her ponytail as spear-like weapons to impale and destroy Zant. Their full power allowed Midna to transform into a massive eight-legged blob that possesses great power surpassed in the game only by the evil king Ganondorf.
We are all her lupine slaves, and I know damn well you all love it!
I said "none other than" way too much in the plot section :P...
As for Imp Midna being sexy...well...loli-furries don't turn me on (I'm probably gonna get the flak by other Midna fans for calling her that), but to each his own. Granted (I gotta stop saying that too), it was kinda hard to ignore what the camera was basically fauning over during her intro-scene.
Don't feel too stupfied about it, especially when taking into account the fact that there were some people who thought that she was actually Ganondorf.
Of course, I'd predicted Midna was the eponymous Twilight Princess since the day she and the game's title were revealed in the third trailer at E3 2005 (when her hair still looked all crazy). Even after Midna referred to Zelda by that alias early on in the game, I still kept confident that a plot twist would occur. But even I was still stupid in one sense--I had never actually stopped to think that Midna's imp form was a curse.