I have always received positive feedback on my characters (at least I'm getting something right!). I don't know how other writers do it, but I tend to start with a basic personality archetype (dark and brooding, inquisitive, white knight, arrogant SOB, tough as nails, etc.) and then layer on a couple other traits (optimist/pessimist, charismatic, snarky, depressed, manic, etc.), then I sprinkle an interest or two (scientist, avid reader, sports, recreational drug use, etc.).
The main character for my short story "In the Field Alone" is a grizzled Sergeant for the Imperial Marines. He is a tough as nails type: no-nonsense, accomplish-the-mission-at-all-costs, dry humour. However, it will eventually be revealed that he was a gardener before being conscripted, and he really abhors war and is a pacifist at heart (but the threat to humanity's survival trumps being a flower child). So far, those who have read him in action seem to like him.
I have another character who is a brilliant computer scientist struggling with a major heroin addiction. He also likes to play blackjack (even though he almost never wins), and it is pretty much the only socialization he gets, since he's a dedicated lab rat.
I like to pepper my characters with conflicting edges to their personalities and interests, as I find that most people in the real world are like that. Everyone has flaws, everyone has quirky little hobbies.
As far as "voice," that is a pretty broad thing. I have a rather loose voice and I am working with my editor to tighten it up. When I figure out some tricks to do that, I'll let you know!