I'm wondering if you might share the same problem I have: I just don't "get" fantasy settings. Not well enough to be able to jump right in and start playing a fully self-directed character right off the bat, anyway. If my character isn't being asked to do something, he doesn't really have anything to do but wait until someone DOES ask.
But in a modern-day or science fiction setting, I don't have that problem at all. I can start off doing things with a character in the first session, no problem. And really, I think this is because I "get" those settings. I know what people do in the modern world and what people do in a science fiction setting, I understand how those worlds work, I can easily relate to their hobbies and their activities and their responsibilities. I don't have any difficulty relating to a character in those settings, so it seems I don't have any difficulty making a nice, well-rounded, self-directed character.
And I just don't have that with a fantasy setting. It's like a weird mental block: I can read the campaign setting notes over and over again, I can fill out character questionnaires all day, I can grit my teeth and really make a valiant effort, but it doesn't go anywhere. At the end of it, I'm still playing a character in a fantasy setting who doesn't really come alive until someone (a PC, NPC, or the plot) sets a problem in front of him for him to deal with, until I've been playing that character for a long, long time.
In our last Scarred Lands game, I didn't actually start enjoying my character until about the twelfth time we played, and I wasn't able to really play him well (with full motivations and goals and independent activities and all that fun stuff) until about twelve sessions after THAT.
I've basically resigned myself to it, now. If it's a straight-up pseudomedieval fantasy game, I'm just not going to be able to really get into character until we've logged at least a dozen sessions, and probably more.
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fortunately, we don't play many fantasy settings in our group
ryan