1. Be easy to identify with. I love Tinkerbell in J.M. Barrie's Peter Pan for "wanting to get at those who didn't clap" when the children had been told clapping would restore her. You can just imagine the annoyness and irritation there, can't you?
2. Sometimes arouse your pity, other times your anger. Fairytales are strong on right and wrong (which I think is why kids love them so much. I remember at a very young age already knowing the world wasn't fair so stories which put "things to rights" very much appealed). The Little Mermaid always generates pity in me. The vileness of the cruel characters in fairytales riles me but all of the characters make you feel something.
3. Be on some journey or quest and you just HAVE to find out how it goes. This can be anything from finding out whether Cinderella will go to the ball or not to discovering if Frodo will complete his mission in the right way in The Lord of the Rings.