That's a pretty broad question,
OP! To which of the different
RPGs are you referring? Character creation has some notable differences between, say, Dark Heresy and Only War, or the 2nd Edition of Dark Heresy. Or
GW's own Inquisitor
RPG, for that matter.
If this is a less specialised, system-dependent question however, I suppose my approach to creating characters generally depends on how "solid" the concept I have in mind already is. Sometimes, when I'm not yet decided on a specific type of character, of course just browsing the pages and reading the various possible options helps a lot with getting ideas. Otherwise I just look what fits best to the character I already have in mind, and hope that it can be pulled off. Rarely, the rules may force me to cancel my first idea and instead go for something more "supported" by the
RPG at hand. Sometimes I may pull inspiration from novels, movies or real world history, which I then usually hint at with one or two references, but this depends heavily on the
RPG and its setting, e.g. how serious it takes itself.
For the
40k RPGs, I think my favourite character so far is my Valhallan sniper. It's a pretty good example for how the rules sometimes force you to work around them, for by its
RAW, "Only War" means to tell us that every single Sniper in the Imperial Guard is a Ratling. My workaround to this was to get a Weapons Specialist with a Long Las. Not quite as "focused" as the Ratling Sniper, but close enough to what I had in mind.
http://dark-heresy.wikispaces.com/Dasha
(the sketch on the lower section of the page has been made by dakka's DeffDread - if you're reading this, thanks again!)
Due to a bunch of Orks charging our trenches and overrunning the squad, I only got to play the character for a single evening. However, I had so much fun just writing her background that I feel I should "resurrect" her some day with a different group, if I ever get to play either Only War or Dark Heresy again.