It is my opinion that without strong characters, a story feels empty. Readers must be able to relate to those in the tale; to build a level of concern, sympathy or at least curiosity for the person they are meeting within the pages. That requires a character to have as much depth as a living, breathing person.
To build those characters, I first decide where they've come from; what is their background? Then the question is: how do they feel about that, how did it shape them? From there it's time to decide what their dreams and fears are, what kinds of things fuel their anger or fear or give them peace. What do they love, what do they dislike. And of course, it never hurts to learn their favorite foods, music, entertainment, whatever is relevant to the tiniest detail of their lives. It's different building a character for a story set in the here and now of what we all know than it is for developing a character to populate a setting hundreds or even thousands of years in the future, but the principles all stay the same. It's imperative for the author to get to know them like a best friend. What kinds of foods do they order at a restaurant or carry in their supply pack, what do they do with their free time, how do they react to uncomfortable situations? And the list goes on and on.
That is where all my stories start. From there I throw a few incidents at them, ones which start propelling a story forward. It is their reactions to the few set things I know the story needs - dictated by what I know about them and their world - that drives its every step. And that is how my stories are known for twists and turns and surprises that are true to the characters, but unexpected all the same.