The characters have to memorable. And unique in there own way. And the Villan must be of the greatest importance, he/she needs a background and a logic in what he/she does.
Also this may sound odd, but music is very important. It creates a mood for your setting, i mean are you going to play a hppay song when some one dies? Errrrrr, no! Music has to be approraite in your setting. A good examlple is if your characets are in a battle againts a god and you play Valhalla by Blind Guardian. Also if fighting a sea serpent, play Ryhme of the Ancient Marnier by Iron Maiden. But Mp3's aren't always needed, just make sure the music is appropraite.