Characters are indispensible. There are stories without plots that are quite enjoyable. A setting can be so minimalistic that it is nothing but the character's mind (going bizerko in sensory deprivation)--but there you are, that's how important a character is. Even if there is no human being, humanoid being, or living creature of any kind around which the story centers, there is a character. The scene and the observer--the narrator, the reader--become the character.
But I digress and ramble damnably. Chop the philosophy for bait and let's get on with the fishing.
The main character of a story--the protagonist, hero, heroine--is the surest hook that catches the reader. If we can identify with--which no way means being identical to--the central character of a story, care about what the person sees and feels, we are carried along.
How to build up a solid, believable character?
1. Know yourself. (It's all done with mirrors.)
Whether or not you are doing it consciously, you put yourself into your characters. Understanding your own feelings and motivations will go farther than anything else toward giving you control over your characters.
A character in a story is of necessity a little short on depth and detail compared to a living person. He or she is only a snippet of personality giving the illusion of being whole. We all have many facets. Therefore, many characters can be born of one writer. Take yourself apart and name the parts. It can be great fun.
If your characters all sound alike, it is likely that you are putting too much of yourself into all of them, or at any rate, the same components in the same proportions. It is all too easy to slip on the character's persona like a thin mask but let your own thoughts and feelings do all the talking.
2. Know your characters! Talk to them, watch them, take notes. Try to see through their eyes, not your own. Think about what their childhood was like. Play scenes from their past in your mind. Try not to fast-forward most of it. Be aware of whose feelings are coming to the top when things happen--yours, or the character's.
2a. Using other people's characters--A.K.A. fan fiction--is, of course, a central theme around here. But even where characters already exist one has to be aware of what makes a certain character a distinct individual. You may not know them as well as you think.
In fan-fic, either you stick to the canon--the laws of the fictional universe in which you set your story--or you are writing Alternate Universe fics. I call some of what I've seen here Betterfic. It is the writer's daydream of what the EC world should have been like, and bears no resemblance either to Auel's work or to reality. The writer is merely wearing a glamorous mask to act out a lot of wishful thinking. It is a pleasant game, but it is no way to learn the discipline of writing.
Check out How to Write Almost-Readable Fan Fiction for some mighty rips and rants, tips, and links to more of the same. Lots of language stuff too.
3. Know your friends--but don't use them wholesale, just borrow a little. Using your friends' (and enemies'!) personality traits can help you to round out your characters. However, you don't want to just drag them into your stories without their permission--so be careful how much you take. They should not be able to recognize themselves unless they gave you permission. I confess I have used (or abused) one person without his knowledge, but I also know he'll never read the story.
One exception may be the use of deceased friends and relatives. Anne McCaffrey's perennial Johnny Greene is an example of a tribute to someone who was a Favorite of the Great Earth Mother.