I’ll use the movie The Champ as an example. A character dies in a dramatic action scene, but it is not the death scene that has the audience weeping. The actual lump-in-the-throat moment occurs several minutes after the death scene when a young child reacts to his parent's death. If the movie had ended with the death of a main character it would only be an average film; it is the relationship between father and son that gives it heart, and the raw grief of a child that creates a tear-jerker.
Interpersonal relationships between your characters allow you to suggest to your readers how to feel about them. Readers feel empathy more easily for characters who are loved by other characters. And as for the antagonist Cracked.com has an excellent article that shows how even a character who is in the “right” can be derided as the bad guy simply for having the opposite perspective to the protagonist (along with villainous acting and make-up, of course).
In Harry Potter and the Philosopher’s Stone, Harry is told countless stories about his nemesis, Lord Voldemort, before he ever meets him face to face. The other characters have visceral responses to even the mention of Voldemort’s name. And, as a clever counterpoint, Harry’s own name is met with reactions ranging from interest to awe, eliciting curiosity from the reader at vital points in the book's beginning.
Readers can understand on an intellectual level that your protagonist is extraordinarily brave because you told them, but they won't own the emotion that a brave person can provoke until you show them that response through another character.
If you have a character who seems to be lacking depth, try digging more into how s/he makes another character feel. Your characters must react to each other before your reader can follow their lead.
Elle Neal is a writer based in Melbourne, Australia. Browse through the resources for writers available at her website or follow her writing insights at her Fictional Life Blog.