It all depends. Usually, there are some characters who know each other, or know of each other as the campaign progresses. One player is running through characters -- he's on his fourth. The first one met the group, the second met the group, the third one was a friend of the first who sought out the group to get news of his friend, the fourth one hasn't started play yet.
Another player has made his second character the half-brother of his first character. A third player has also gone for this option, making his third character the brother of his first character.
I did start this game in a bar...The North Road Inn in Long Archer, where an Outside Power brought the characters together: a merchant whose son needed rescuing. (And for those of you following such things, religion was involved, as was the manifestation of a deity's "child" -- in this case a half-fiendish monstrous spider).
I once ran a game where the initial PCs were all 5th level (in 2nd Ed AD&D) and I let them load up on whatever gear they wanted. They then woke up in the first dungeon, pulled to this world by an artifact *that left their magic items behind*! heh heh heh
Daniel