Effort and imagination and not settling for the first thing that comes to mind. If you're looking for technical information about making your character look good or role-playing tips to help you come up with a good back-story I've written hubs about those things as well.
The key is investing in your character: deciding to create an interesting and original character right from the start and letting those decisions inform your gameplay. Don't settle for a stereotype: push your character concept as far as it will go. Skyrim is one of those games that rewards you for effort--not necessarily in the traditional sense, but in terms of memorable experiences and adventures. The people who get the most out of this game are the people who are willing to put their best into it.