Since I mentioned him earlier, here is the Good Guy character from my previous design tute at CDWA. It's briefly annotated here for easy ref.
So here you can see I start super rough so the thumbs are just about ideas - not draftsmanship. I have an idea of what I want because I have criteria (tom Clancy's Rainbow Six in a Fantasy Setting). I pick a pose that describes the character and work it up. The Layout revisions define volumes and the costume starts to come together.
The colour palette was selected to complement his world (based on a mood board of images I selected for the project) and they contrast with the bad guys so you can tell them apart quickly. The final image is still rough but there is loads of information here - his mask is kinda cool but I want to design a face...
The face started as a quick generic hero head I painted to get a rough colour/volume guide down, then i drew over it and distorted the features to give him some character. I duplicated that and tried out some variants before opting for Mighty Chin guy (suggested by Kevin Chen) who I then worked up. Job Done in a day, phew!