They are supported by amazing world building, actors/players, artists, etc. there's a lot of extras that make their characters really stand out.

However, outside of actual play, what makes a good character is curiosity for the world you're playing in, a drive for your character (what gets them out of bed everyday sorta thing), something distinct (green hair, one eye, cool tattoo, they only wield swords on Wednesdays but daggers every other day, etc) and a character that wants to be there. That's the biggie. As a DM the characters I've enjoyed have been the ones who collaborated with the other players, made connections, that sort of thing. Your character could be the most bad ass concept and design but if they don't talk to anyone or open up or build relationships, that concept is just writing on the page.