We made characters once, but that was as far as we got.
I think we figured out how to "power game" character creation -- cooperate. We worked out what everyone wanted and rigged the bidding so we could all get what we wanted and still afford pattern walking and other goodies.
Basically, if you are co-operating with the other players, you're not playing in the spirit of Amber. In our games, each player becomes a generator of plots, rather than the GM being the one to lay down the adventure.
My birthday game was great fun - I replaced one of the PCs with a Chaos Shapeshifter, unbeknownst to the rest of the characters. Sarah had great fun playing her - she took down Adam's PC, and then Adam played the character for a bit.
There was a great confrontation between Chris (ranked 2nd for Warfare) and Shapeshifter Adam. Adam was unranked (Amber) for Warfare, and so Chris thought he had the upper hand - unfortunately, the shapeshifter used Sarah's stats, and so was ranked 1st! Chris went fully offensive even after receiving a blow (and a hint not was all as it seemed), and - with his bad stuff - took a fatal wound.
Eventually the shapeshifter took down three other PCs, with the other two retreating from Amber (which was wrecked) until they were able to raise a big enough army in Shadow to destroy it. Having control of the Jewel of Judgement was a big feature as well.
The other really nice bit was when Sarah stole the Jewel... only to discover that for the second time in a Throne War, Adam had made a fake which she'd been fooled by. She couldn't believe that bit.
A great time was had by all.
Cheers!