Game rules and mechanics provide the structure, but for me what makes the game fun isn't "beating the system", it's the story. The most fun I've had in any of the games has been with characters who had character, who were more than just stats and gear, powers and classes.
When making a character I typically try to take a few moments and think about the person I'm about to play. Who are they, what drives them, that sort of thing. Once I have that in mind, the decisions about classes, feats, skills, PRCs, edges and flaws, advantages and disadvantages become easy, no matter the system or setting.
Some of my best characters were defined strictly in terms of limitations, in fact. (God but I love the insanity rules in Alternity, but I digress...)
