I like roles that live within the CF world.

That doesn't just mean making reference to CF places, NPCs, deities, etc., though that's often helpful. It also means, in a certain mental sense, putting yourself within the world and asking 'what if?' or 'why is this this way?' questions. Even if the question doesn't make sense in a real-world sense, if the answer you come up with does within the context of the game, you'll probably have the seed for a role that lives and breathes in Thera.

I'm having a hard time coming up with a good theoretical example of this without dipping into my carefully-guarded "characters to play" pool. Why do all these newbies make a pilgramage to Balator to pillage practice weapons? Maybe your character thinks there's some grand conspiracy behind it. Why do so many characters have an intense fixation with axes? Maybe there's a secretive cult responsible. An example I can remember from actual play: Might not a warrior who eats magical roots all the time become physically addicted to them? Another: What happens when a dwarf decides to become a mage, now that Akan's mage guilds are empty and abandoned? What if a nature-based character thinks Sylvan has it wrong, a mage thinks the Masters have it wrong, a bartender becomes offended that Heralds give away drinks for free, a paladin feels the Maran are too extreme and border on evil themselves? There's a start to a hundred great roles if you ask the questions, and they're all rooted in the world and its people.