I had admired Mr. Dennehy — who died on Wednesday, at 81 — as a smart, risk-taking and undersung actor onstage and onscreen. He was a heartbreakingly sensitive lout as the parvenu Lopakhin — a brute with a touch of the poet — in Peter Brook’s production of Chekhov’s “The Cherry Orchard” (1988) at the Brooklyn Academy of Music. His performance as the serial murderer John Wayne Gacy in the 1992 television film “To Catch a Killer” was a penetratingly human portrait of a monster, and it haunted my nightmares for a long time. But nothing I had seen Mr....