That is a deep question. I usually start with a few simple basics, those being their demeanor, why the audience should like them, what their strengths and weaknesses are (flaws are important), and what their quirks are.

The first is pretty self-explanatory. The second is me asking why readers would want to read about the character. Are they funny? Clever? Kind? What draws them in? Something unique? Something strange?

Strengths and weaknesses is pretty straightforward. Quirks though, these are the little idiosyncrasies that everyone has. They can be nervous twitches, a love of a certain food, a dislike of a certain food, a hobby, a habit. Little things that everyone has that are easy to forget about (and many times we don't even recognize them in ourselves).

Wrap that up with some goals, and usually it's enough to start. Above all else, the most important thing is to me is to let the character breathe and be a living-individual. I don't have control over where they go or what they do. They do. I just control the sets. Authors like to joke that their characters are the "voices in their head" and in a way they're not wrong!

EDIT: As you might imagine, there are dozens of posts about this on my site.