The same basic things that make for a great character in any medium:
Growth, both physical and mental (although physical isn't always necessary). They should gain the physical strength to overcome their enemies (which makes for good action), and mental strength to keep their persistence and will alive. That's the core of any good character. They should also have to overcome a conflict through their story, and come out stronger for it.
My example for that, at least of those I can think of at the moment, is:








