There's an art to creating RPG characters, everyone has their preference, and some people really struggle with it. Here's my strategy.
Seems obvious, right? Sometimes this is the hardest step. Some people always seem to wait and see where the gaps are after the rest of the party has formed and always seem to end up playing the healer. You need to find a broad concept that appeals to you in terms of where the character came from and what they can do. Not only is it important to balance abilities within the group as part of a mathematical/mechanical game system but it's also important for the dynamic between players. You need to feel like you add something to the team.
Class and Concept
Now you know roughly what you're going to do you need to decide both thematically and mechanically how to do it. Most games provide numerous character classes, any number of them will overlap in capability. Is your wilderness scout a Druidic, nature magic type, a lone woodsman Ranger archetype or even a grizzled Warrior skilled in stealth as well as combat?
Your character earned his skills and abilities and this history is as important as the numerical values on your character sheet. You don't need to write her a novel, but the broad-strokes character history should support the game mechanics your character stats represent.
I know, it sounds like management speak. This is the principle that you need to have sufficiently strong stats in mechanics that are key to your character's party role that you can rely on being successful on the significant majority of attempts. There's simply no enjoyment if you can't fill the role that everyone needs you to shine at. This should always be your priority when assigning numbers. In most RPGs it's also necessary to contribute to combat encounters, so even if you aren't one of the front-line combatants you will need to hold your own. This is also better for your Games Master, as he or she has to balance encounters to challenge the most combat-capable character without completely overpowering the least.
Justify Your History
The best way to flesh out a character's abilities is to examine those she would have needed in order to fit the history you've come up with. A character's profession, interests, education and socioeconomic background all imply certain skills. You probably won't find a grizzled veteran that doesn't have survival skills, even if she has answered her newfound life calling as a pacifist cleric.
Depending on the specific game system you're playing incidental skills such as cooking or crafting skills may be appropriate. Knowledge of history, obscure lore, or politics. Nobody has only a single interest or focus. Give your character a broad spread of capability where the character creation system allows, just don't spread her too thinly.
Never, ever, neglect to teach her how to swim.