I find I can't make a character come to life unless I have at least a full biography of him or her written down or at least roughed out in my head. I may not reveal all there is in it, but as someone else has said, the character should be as 'real' as a member of the family or your best friend. Why do they respond to a certain type of stimulus, why react in a certain way to an event? You can only write this sort of detail convincingly if you've (at least mentally) walked their path.
Seriously, we are the product of our experiences, good and bad, and the way we (and our fictional characters) react in any given situation is, in part, dictated by our experience of whatever the scenario is. An interesting experiment about ten years ago made an assessment of how people from different backgrounds responded to having to deal with an emergency. Those from a military/police/fire/emergency service background did not "logic" their way to a solution. Those from a management background did. More often than not, the "military/Emergency" group got the solutions right without an apparent "process" and those who applied the "logic" system often arrived at a solution, but too late.
The study was then extended, with the participants being monitored for brain activity and it was discovered that the Military/Emergency group almost shut down the "cognitive" areas of the brain, while the subconscious parts lit up like the proverbial Christmas tree. What they were doing is essentially a "data search" of their experiences, along the lines of; "Where have I seen/experienced something similar? What worked? Do that." The second group lacked that experience, so attempted to do the opposite and ignored "experience" and tried to take a logical and step by step approach.
We are the product of a whole range of "inputs" from experience, through learning and training and a large dollop of "culture" as well. In the Far East, a fire I investigated involving over two hundred dead, turned up the fact that no one had attempted to escape even though they could see the fire growing and some of their co-workers attempting to fight it and escape. The reason? They were paid by the hour and any breaks were deducted. None attempted to escape because the managers hadn't authorised them to leave, and they knew they would not be paid if they did. An extreme example, perhaps, but this is one of the reasons I try to work out the full "biography" of a character in a lead role in my stories.
These little details shouldn't be part of an 'information dump' but, as Susannah has said, should emerge through the dialogue, through actions, gestures and even through their private thoughts.
For the main character in my Harry Heron series, I have mapped out his life from birth, through all the major events in it, given him a violent temper and a stubborn determination to control it. I know where he went to school, what he studied, what his friends think of him and who his parents were and their influence. Most of it doesn't emerge in the stories - but it is a part of what makes up his personality.
I couldn't do without my notes and I do something similar for all my major characters.