Set stakes on background. Damnit, I wish I had a better writeup of this. This is the best I've got:
First, pick a focal point and tell it to everyone in advance. Here's four that I've used and which worked.
1. You all are knights or in some kind of formal order where you can be ordered by your superiors on a mission (mage's tower, thieves guild falls into this category). You've been sent as an envoy from your order to assist an old knight. You're not sure why, but you've previously met a few others who you'll be working with.
2. You all have some kind of connection to the Water Street Orphanage.
3. You are all members of the same tribe, about to go through your Naming Hunt where you will claim your totem animal (the whole group gets 1 totem animal).
4. You are all retainers or allies of House Aagen, a northern noble family who was dispossessed in a treaty by their former King. They took their wealth south to the city of Plen, where they are founding a merchant company.
That's just step one though. Step two is getting them to set some stakes and make some seemingly-unimportant rolls that relate to another PC. For example:
One PC in my game decided he'd make a Wisdom check for how brazenly he was looting a corrupt magistrate's house. If he succeeded, the other PCs would think of him as an honest guy. If he failed, the other PCs thought of him as a thief and - although they tolerated him because he's funny and useful - they don't trust him the same way. He failed the check
Another PC is bad with money. His player came up with the idea of someone trying to swindle him. If he succeeded an INT check, he saw the swindle coming and the other PCs think he's got good instincts. If he failed the check, the party cleric takes custody and helps manage his funds (and gives him an allowance of his own money) because he can't be trusted with it. He succeeded the check.
An example I came up with for establishing a relationship with an NPC is "who's better at cards." Both make appropriate checks (in this case bluff vs. sense motive, and the reverse).
Setting stakes is a great way to get the ideas flowing and to set up relationships between characters. "We're brothers" is weak because it doesn't set terms on which one PC talks to another. Making best-of-3 opposed INT checks and saying "I'm the older brother, but we agree that he's the smarter brother." sets up a real relationship. I've also noticed that when the dice tell the story (rather than the DM) and there's a kind of risk (even something as trivial as "the other guy has a reputation as a better card player.") the players remember it better.
