It is always nice to have some basic ideas in mind, especially when thinking of initial characters such as "I am feeling a tank character", or having an idea of what kind of skills/etc based on the lore so far.

I always find the best bit is when you get the juicy lore details for the world, then go "what would be fun in a world like this", there may be certain factions or nuances which are appealing. Then it is slotting the basic idea with the character idea, creating something fun and interesting to explore the world and tell a collaborative story with the GM and other players where all have fun.