Watch comedic characters you like. Analyze what makes them funny and what makes them interesting. Pay attention to the techniques the comedian uses.
Pinpoint your style of humor. This helps you create your comedy character. You may get laughs when you're loud and big and flail around like Chris Farley, or you may be more deadpan and quiet like Steven Wright. Once you understood your humor style, you'll have a better idea of the character you should create.
Give your character interests. He could be into loud rock music and partying, or bug collecting and sci-fi novels.
Determine how your character talks. She could talk with a Southern accent, sound ditzy, paranoid, always be yelling, use big words or frequently sound confused.
Master your character's actions. How he acts goes along with how he talks. A ditzy talking style could be joined with staring into space and chewing gum. A person who uses big words and sounds intelligent could be joined with wearing a monocle and carrying an encyclopedia, forever referring to it.
Pick a physical appearance for your character, such as how does he dresses and wears his hair Don't forget about accessories, too, such a hat, glasses, watch, jewelry, fanny pack or sweat band.
Practice your character. Rarely does someone master a comedy character the first time she performs it. Many comedians have to work on a character for months or years to get it right, but when you get it right, it's totally worth it.