Give your superhero character a deep and unique personality. Powers and costumes are part of the genre's appeal, but each hero needs the foundation of an interesting character. Ask yourself questions about the character's personality such as, is he easy-going or uptight? How does he feel about various issues in the world, personal and political? And what motivated him to become a hero in the first place?
Design your character's appearance. Give her a look that is unique, that separates her from familiar icons. She does not have to wear a spandex costume, but she should have a visual aspect that identifies her as super-powered (such as the Hulk's size and green skin, or the Human Torch's flaming body). You also should give her a unique look out of her outfit; for example, what is the color of her hair, the structure of her body, or even the size of her nose? Little details can go a long way toward making a distinct character. Sketch various looks with pencil and paper until you make a design you find satisfying.
Create the draft of a story that will introduce the character. Determine the medium in which you will be telling the story. Superheroes are most commonly associated with comic books and films, but they can work just as well in television, video games and even novels. Create with a plot that will give your audience a reason to care about your character. Many superhero stories start with the origin where the character acquires his powers, but it is not necessary. Start your story from any point that will introduce who the character is and give him a dramatic dilemma to solve.
Write and/or draw the actual story. Follow advice from successful authors in the chosen medium. For example, if you are doing a superhero comic book, research how to do comic books, and if you are doing a superhero movie script, learn about proper screenwriting. Learning from the best will ensure that you have the best chance of creating a memorable story.