That really depends on what kind of player you are.
Broadly - I find that as a player, I have time for far, far more depth of presentation of my one character than I have opportunity to present when I am responsible for the entire world. So my advice would be to concentrating on that depth available to you.
I tend to think of myself as a "GM-player" - like someone who tries to see what the GM is doing and support the other players and making that fun scene occur. For example, encouraging others to take the quest, or if there's a fun encounter planned, for us to engage with it.
Other than that, I like creating fun, memorable PCs - not power gamers - just ones with interesting play options, roleplaying quirks, etc.
However, in many games, those play options don't come up. Recently, I created a character that could teleport around the battlefield as a very mobile fighter - it was written into his backstory in a unique way and was trying out a new class from a splat book.
As it turned out, I'm the frontline tank. I can't move. I have to stand there in heavy armor. Because of the way I built my character (which wasn't my intent), I am a worse fighter and worse at doing what I created my character to do.
It's not just this game. Other games with other GMs I've had... 1) A medic in a system where you can't heal. 2) A magic user focused on identifying magic items and creatures, when the GM decides to tell us everything without rolling. 3) A wealthy celebrity in Call of Cthulhu where our group has all the money we need due to a benefactor.
It seems that in every game I've played in recent memory, I'd be better suited just being a generic warrior-type.