For me Winky.... Peeves only annoyed the crap out of me, well except for when he took the order "Give her hell for us, Peeves" to heart. Winky on the other hand is a very tragic character for starters. Her pride as a house elf did not allow her to accept she was merely abused by her master. Not to mention some very subtle hints towards Barthy Crouch Jr. were given by her, either directly or indirectly, and she also hinted towards Ludo Bagman leaking information to Voldemort (although he didn't know the person in question was a Death Eater). Some very important things that could have led people who never read the books and only saw the movies on the trail to Crouch Jr. came from her. Peeves never played such an important key role in the plot.