What makes us love a character?

I read the first chapter of the new Charlaine Harris book today (from her website).  I'm really excited about her new book coming out.  My excitement about this whole series surprises me, though, because I never read supernatural books.  My genre is thriller/mystery.  That's what I read, that's what I write.  But I just love Sookie Stackhouse and I have to know what is happening in her life.  Right now I am also reading The Brass Verdict by Michael Connelly.  I read the Lincoln Lawyer, mostly because I saw adds for the movie.  But I got the second book because I really like the main character.  So what is it about a character that makes us come back for more.  I can't really put my finger on it exactly.  Is it because we want to imagine they are our friend?  Because we see ourself in them?  Maybe they are what we wanted to be?
Who are your favorite book characters and why?