1. Characters need to have both good and bad traits - e.g. most of the main characters, but especially Tyrion.
2. We enjoy watching characters who do things - so Ramsay Bolton (happy torturer) is more interesting than his father Roose (whose torturing takes place off screen).
3. We like anticipating what a character might do next - so while Cersei is depressed at the moment, you just know that she's going to wreak revenge at some point.
4. Characters without much personality are disposable - slaves, soldiers and Myrcella.
5. We can identify with the non-heroic much more easily than the heroic - e.g. Samwell, Sansa.
6. Loyalty is one of the most attractive traits a character can have - look at Brienne of Tarth.
7. We don't like characters who set themselves up as better than others and are then mean to them (especially when saying it's for their own good), e.g. the Sparrows, the Waif.
8. We enjoy seeing characters grow and come into their own - Arya and Tyrion are good examples.
9. Characters need to be consistent - Melisandre has ups and downs, but she is always true to her beliefs.
10. Secondary characters can get away with being one-dimensional, like Hodor and Joffrey.
And an extra one:
11. If people are really committed to your characters, they'll be waiting for them to come back from the dead, even when they've seen the body...