Start with the basics of what you want the character to be: class, race, that sort of stuff, the minimum you need to play. Pick what you think you'll have fun playing with for a while, and build around it as you choose skills, feats, and whatnot. Find out from your DM/GM what kind of game it'll be (ex: undead heavy world, based on a video game, standard epic journey, etc) if they'll tell you. The more you know, the better you can tailor your character to the setting.
What game are you playing: D&D/Pathfinder, Star Wars the RPG, Battletech/Mechwarrior, what? There are a ton of RPGs out there. If we have more details, someone may be able to recommend a book or site with character building help for that specific game.