My characters have to share some trait of mine that allows me to connect with them when writing, but I don't tend to create a Mary Sue.  Could be as simply as our taste in music, an icy but formidable temper when roused, or nonchalant attitude toward violence.  Just... [i]something [/i]which acts as a starting point in allowing me to inhabit the character.

I also don't have one that is closest to my actual personality or physical description.