Aubrey and Maturin series. Both are quite awesome from the start, yes, and suffer setbacks which wipe out the gains from hard work, and some things (naval for Maturin, 'landwards' for Aubrey) remain unlearnable; but their abilities to react to life's demands efficiently seems (to me) to grow over time.

Also, Dr. Faustus by Thomas Mann. A kind of - antihero? - great from the start, trying desperately to fulfill his worth before his time runs out.