1. They must not be expendable. If any of them dies, their death MUST make you feel bad and sad. You shouldn't go 'meh', i can go back to town and get that guy i saw 10 minutes ago.
2. Characters must, MUST interract with each other. I remember Minsc in BG2 had a rat and everybody tryed to steal it, talk about it, pet it, what ever, and Minsc would always get mad.
That ranger freak...
Making characters interract with each other will give them a personality, resulting in attachment to them.
3. Character deaths must have a negative impact on party members, depending on how long they were in the same party and how deep they interacted so far.
4. When i look at the screen, i want to see characters not walking pixels with a sword. I want to care for them, i want to want them to succede.
5. Some characters need to feel different. I remember when Irenicus showed up, i knew serious stuff is going to happen. You could sense his power, taste everybody's fear.