Many people are familiar with classic literary characters like Dr. Frankenstein and Dorian Gray. “Penny Dreadful” brings those and other characters into a new light by exploring their origin stories in this psychological thriller that takes place in the dark corners of Victorian London. Sir Malcolm is an explorer who has lost his daughter to the city’s creatures, and he will do whatever is needed to get her back and to right past wrongs. His accomplice, seductive clairvoyant Vanessa Ives, recruits charming American Ethan Chandler to help locate Sir Malcolm’s daughter and slay some monsters. Oscar-winner Sam Mendes (“American Beauty”) is one of the series’ executive producers.