For me, reading is about the people I meet inside the covers of the book, so writing had better be the same. I'm a very emotional person - probably not a big revelation there. :) I want... actually I need an emotional connection with a character. Otherwise why bother reading? Why bother writing?
So how to do that?
I like to write in 3rd person and tend to alternate the scenes between the male and female leads. Each gets his/her own scenes from his/her pov. Both characters get to reveal their thoughts and feelings. We get to know them both from within themselves and from the view of the other main character. I think -- okay, I hope this helps the readers to really know and care about the characters.
Of course throwing them into life-threatening perils and twisted plots helps as well :)
And if all that fails, I'll just write about these great Steampunk Disney characters. That's gotta work!
How do you make your characters compelling?