One good piece of advice is to work bckwards. Creating an interesting character out of love for the character will create distracting elements and will tempt you to create a Sue of one variety or another.
What is your objective in using the character? What role do they play? Why are they interesting? How do their traits complicate matters, drive plot points, or strengthen their symbolic power? Edit: Also, what SLP said about voice. Voice is probably the most important of all.
These questions should guide creating your character.
Sometimes, of course, you create a character who needs to breathe in order to work: a character for whom an interesting personality and a strong, consistent motivation is not enough. To develop these characters, again I advise resisting the urge to create an RP character with an interesting history and with interesting traits or quirks. An interesting quirk or too is good, but quirks do not count as character exploration. Neither does in-depth analysis of personality and how the character should behave.
Instead, think of non-obvious traits of your characters; things that are offscreen, mundane, unimportant. Again this will help you to work backwards and create new angles that make the character interesting in ways that obsessive detail on obvious things can't.
The example I've been using is of an RPG character I once made who was a mage. I had a good, solid theme to her–she had only nonlethal combat magic, she was good at clairvoyance, she followed a religion of peace and spirituality, and she was with the party because she had a dream of retiring to a life of religious pilgrimage.
See the problem? She's nothing but an RPG stereotype, no matter how meticulously I tried to make her a "good character."
I began by asking these questions: What is her ethnicity? Who were her parents? What are her specific beliefs?
I ended up with a terrorist sympathizer with a subtle bias against white men, a problem with compulsive honesty, and a religious need to investigate any unfamiliar magic stuff that she finds. She also sends money to her mother in Mexico and works with a spiritual advisor.
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