Here are some things I learned GMIng DF. It's kind of rant-sounding. It's just me trying to be direct, quickly.
Be capable out of the gate. Back when we started the game, Borriz the dwarf did like 2d+8 and had a skill in the low 20s, Vryce had ST 17 and did 3d+8, the wizard had Magery 6, etc. They were highly capable guys. They were designed to maximize their specific niche right from the first step into the dungeons.
This came up recently, actually, where the players had to make some new PCs and use them right away in a very dangerous fight that had TPK'd their more-powerful, higher-point, better-equipped previous PCs. A couple people basically apologized for making their guys specifically ready to step into the fight and be effective. But that's really someone you need to do in DF. If you make a 250-point guy who is going to be hell on wheels at 300 points but need a lot of help until then, you're making a potentially fatal mistake. You really need to figure out a strategy that makes you effective at 250 points. Use those next 50 to become more effective or branch out. It's all stuff you can buy later anyway, so be good now and expand later, don't design purely with a wait-until-I've-bought strategy.
Bring the damage. A party without characters who can deal serious damage - in the high 2d+ to 3d+ range - is doomed against high-end tough monsters. So what do you need to bring?
For casters, have an effective spell you can rely on for the first combat, no matter what it is. Have a 20 in it if you can. You won't regret the point savings. Have a missile and if possible an explosive missile spell. And have as much FP and Energy Reserve as you can. The ability do crank out 3xMagery in dice of damage when you need it will make a big difference.
For damage-dealers, I'd put 2d+4 as the rock-bottom minimum. That's enough to penetrate DR 10 on average, and if you're a melee fighter the party is going to depend on to hurt things, you can't be bouncing off of DR 10. 3d+ is better. ST 17 (or ST 15 or 16 with Striking ST 1 or 2) is a critical breakpoint for raw damage, especially for weapon masters.
For armor-minimizers, such as Swashbucklers and Scouts, damage is less critical but you don't want less than 1d+3. Skill will need to be 20+ as soon as possible, and you'll need to know all of the rules for Chinks in Armor and the downsides of bringing impaling damage to a dungeon. Expect that big boss monsters will lack eyes, lack a brain, and/or have Nictitating Membrane. If they don't, except the later ones will after your GM gets frustrated with one-second incapacitations of encounters they put in expecting it to be a challenge. Bring a variety of arrows or a sword with a variety of damage types. Smallswords aren't really a great choice.
For "DPS" guys, see damage-dealers or armor-minimizers and do that. I'm serious, here. Early on I had a couple of people talk about maximizing their DPS - lots of attacks, moderate damage being better than fewer attacks with higher damage or against specific locations. GURPS has DR, which is a per-attack cost you have to account for. Put them against a dragon or an evil knight or a Golem-Armor Swordsman and they usually do 0 damage per second. Have a plan to overcome or bypass DR, then start cranking up the number of times you do it.
For utility guys, you can ignore some of this - have an idea where you'd go if you did go for combat - but remember that Weapon Master, Trained By A Master, and ST 17+ mean you can't just wade into melee against serious foes and survive. The "you must be this tall to ride this ride" bar is too high in DF.
I've seen many people bring a defensive-minded, "max-DR, max-HP, and then if possible raise damage" approach to the table. That works . . . if someone else brought the damage. Our first two knights were defensively sound and offensively murderous and hung out with a ridiculously sturdy and offensively dangerous barbarian. The guys who weren't offensively powerful found they needed that defense and DR and HPs because they couldn't drop foes fast enough.
Have variety. A variety of attack forms is critical. Don't only have one damage type, no matter what it is. Bring cutting, impaling, and crushing to the dungeon with you. If you can do all three well, you're okay. If you can do two well, you're probably okay. If you do only one well, you're eventually going to be helpless in a fight where you could be contributing. Usually I see this because of a narrow character definition ("I'm Mr. Stabby!" or "I'm a Fire Wizard!" or "I only dual-wield hatchets" or something like that). Broaden it out a bit - perhaps "I'm Mr. Fencing!" or "I'm an Elemental Wizard!" or "I dual-wield axes and maces" - or a lot - "I'm Mr. Sword" or "I'm an artillery mage!" or "I dual-wield anything" - and you'll be much more useful. Start narrow-ish if you like (although with weapons, narrow can be 2-3 damage types!) and widen out quickly.
This goes double for casters. We recently had a situation where basically the entire party was dependent on Lightning. Vulnerable to electricity? We win! Invulnerable to it, or just have high DR and can't be stunned? Uh-oh, let's start discussing when we bail on this fight. For clerics and druids, yeah, your options are limited. Wizards? You need multiple forms of attack. If you depend solely on one kind of energy source or one spell, you will be useless some of the time - and yet it's a problem you can solve with a few points in a new college. If you do focus on one type ("fire wizard" or "cold wizard") make sure you do that first and then expand out. The longer you stay within that one niche, the longer you're betting your ability to survive on not fighting monsters immune to your attack.
Having non-damage ways of dealing with trouble - Sleep spells, area-denial spells, illusions, whatever - are also important. Especially for casters, it's a small investment to get variety.
Finally, have in mind two ways of being useful: solo, and in the group.
Solo utility is simply, can I operate on my own? Am I a liability or at great risk if someone else isn't covering for me? Do I need a specific combination of other delvers to be useful or survivable? If so, think about how to address that.
Group utility is simply, can I contribute effectively to the group? Are they better off with me than without me? Does my character's style depend on putting other people at risk, or come with downsides so large I'm dragging folks down? Do I have abilities that multiply other people's utility or am I merely additive? If so (if not in the last case), think about how to address that.
It's a group game, so the first might not seem so important. But in a pick-up, play-with-who-shows game like I run, solo utility is critical, too.
I hope this helps people making their own characters for DF and the DFRPG.