The most difficult part of preparing for an old-school pen and paper role playing game is getting all the players to settle on a character. Because of the fairly personal nature of your little make believe hero making the choice, and there's always an abundance of choice, of the character you craft can be a frustrating process. Characters have to fulfil a number of requirements. They have to contribute to the team while being individually capable; this means fulfilling a core mechanical need as well as covering skills and attitudes that an adventuring party might require. They have to be pretty awesome; nobody wants to adventure with Jim the Janitor, unless of course Jim is a wizard in his spare time.
They have to represent something.
This may be the toughest part. They have to represent something personal to the player; an idealised self, an unexplored desire, an outlook contrary to your own. They might be someone braver than you have the nerve to be, or more altruistic than you have the resources for. Maybe you just secretly want to have pointed years and cast spells. Maybe they can get away with all the dark impulses you would never act upon yourself.
From the trivial or shallow to fundamental philosophy a character always means something to the player. That investment is important. Once you figure all this stuff out the real hard work begins.
Once you've figured all this stuff out you have to come up with a name.