It may be hard for some actors to depart from the roles that helped define them, but for Aidan Gillen, it is a welcomed goodbye.

Gillen sits down with ET Canada on the set of History Canada’s “Project Blue Book” alongside co-star Michael Malarkey. The pair reflect on their iconic roles and reveal which episodes of “Project Blue Book” terrify them most.

One can confidently say that “Game of Thrones” took the world by storm. Countless fans have fallen in love with the characters at the heart of HBO’s fantasy series and, by extension, the actors who embody those roles. Gillen, who famously played Lord Petyr Baelish a.k.a. Littlefinger, says departing a successful role is something he quite enjoys.

“It is a big deal to play a character that so many people around the world are invested in over a number of years,” Gillen tells ET Canada. “It is kind of a special feeling knowing that these tiny moments are getting through to all these people and a small piece in this jigsaw puzzle that has captivated the world. It means a lot.”

RELATED: ‘Project Blue Book’ Season 2 Trailer Visits Area 51

“The question about shedding the thing, I mean I love that. I love the last day of work,” he adds. “The last day of seven years of playing that character. It’s literally liking taking off the jacket or the cloak and putting it in there [a chest] and thinking we’re never going to see that again. It’s quite liberating, especially if you feel like you’ve done a good job.”

Malarkey is no stranger to such fandom himself, having played Lorenzo “Enzo” St. John on “The Vampire Diaries” for the better part of four years.

“At the end of the day, sometimes it’s hard to know where you end and the character begins after you’ve been with the character for a while,” Malarkey explains. “I feel very affected by the roles that I play. I feel like I affect the roles that I play too. It’s difficult.”

“To get a little trippy about it, if I think about myself before I was cast in this role [on ‘Project Blue Book’], I do feel like I was a different person,” he continues. “I guess that’s the conundrum of knowing what to hang on to and what to let go of. It’s a bit metaphysical but that’s how I feel about it.”

Gillen and Malarkey have dissected countless tales of the paranormal on “Project Blue Book” but there is one that stands out as particularly frightening to Gillen.

RELATED: HBO Announces When ‘Game Of Thrones’ Spinoff Will Air

“I probably wouldn’t want to be abducted,” Gillen shares. “Episode nine from season one, I think it was, where we had the guy get abducted. I find that pretty chilling. It was well-realized and felt pretty real. The abduction cases have always chilled me a little more than the rest.”

“Yeah, I’d have to agree,” Malarkey chimes in. “You can see things and that’s one thing. ‘I’ve witnessed a craft, I’ve witnessed an alien being’ or whatever. But being taken in your sleep, not really knowing what is real and what isn’t and having to unravel that through your life must be a difficult psychological thing to go through for people.”

Gillen concluded, “Yeah, whether it happened or not and if it didn’t happen, to stick to that story for the rest of your life is a very peculiar job.”

Season two of History Canada’s “Project Blue Book” premieres Jan. 21.