Character Building

Over the last few days I have been “listening” to my characters, and have been watching them as they become deeper in whom they are. I have to say that this is one of my favorite times in writing.
I have to admit that it is like discovering more about your friend; things you didn’t know before. What excites me is that it is like I have a secret about them that I get to share to the readers, but only when I want to, and only as much as I want to.
One of the reasons I am a huge Tolkien fan is because how deep his characters are. So many of them you feel you could have known, and forget that they never really did live. Their history is so colored and full that they are more than just characters in a novel, but you want to be able to research and find out more about them.
What about you? If you are an author are there things about your characters that only you know? How does it affect your writing? Do you attempt to build the history of your character before you write, or do you just kind of know your character?