The characters in a story are the driving force behind the actions that happen inside the story. They choose their actions and things happen. They cower and things don't happen. Characters are the main structure behind a story.
Every story has them. Even in stories with no people or animals have characters. Ray Bradbury's "There Will Come Soft Rains" is about a house. The house is the character. Weather can be a character. Anything really is a character. According to Pixar, emotions are characters (see Inside Out).
I pick characters carefully. Not at first. The beginning is normally inspired by a scene, a thought, a desire to tell a point of view. Then characters blossom out of that. I believe that a story is only successful if the character(s) are not the same at the end as they were at the beginning. This is writing 101, but people do fight me on it. I desire stories of people who try, fail, win--whatever! I just want to see them different at the end and follow that journey there.
This means knowing who they are. I write character profiles often based on Scrivern's provided profile questionnaire. I add in a lot of details for myself. I write extensive backgrounds for my main characters so I know where they are coming from (don't get bogged down, though, write the story too!). I like to write out my character's character. Their moral compass. Their reasoning. I like to see that so I know what their thought process was. It's not necessary, but sometimes I find pictures to put in their profiles so I can envision their faces to give them physical quirks and see them moving. This helps me write realistically and individually.
I often refer to these character outlines as I write. Especially if I need to remember who eyes are what color or how old they are or if they were around for a particular event in history. This is by no means comprehensive, but hopefully gives you some ideas and shows you how I start to develop my characters. More on it later to be sure!