I typically create myself, both for immersion, and because I'm apparently the only person who doesn't find themselves completely boring. It depends on the game though. Fallout for example, I do myself, and I even try to guess what my stats would actually be if I had them. Makes for a slight better understanding of myself. For example, I'm not too strong, a bit average, but I have a great tolerance to pain, so I leave Strength at average levels, and put a point or two into endurance. I'm not too quick on my feet, but I'm rather observant and aware of my surroundings, so chalk one less point to agility, and one more in perception.
However, if it's Saints Row 3, I usually make a new character that looks cool, or an already established character, like Duke Nukem. I love how easy it is to create Duke Nukem in the Saints Row games.
However, if it's Saints Row 3, I usually make a new character that looks cool, or an already established character, like Duke Nukem. I love how easy it is to create Duke Nukem in the Saints Row games.