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Many writers have incredible difficulty with this because many people have incredible difficulty with this. Humans are basically and generally self-centered egomaniacs. And even though some elevate that self absorption to surreal levels of narcissism, all of us are trapped within our own consciousness. The reason we admire the truly compassionate (like that Jesus dude) is because it is, in fact, a very rare quality. As the center of our own universe, it takes an extraordinary act of imagination and empathy to imagine the lives of those outside our sphere of influence.
But everyone is the main character of their own story. And if you don't write them that way, they will come off as trite (at best) or a terrible stereotype (at worst). And then critics will write "bromidic" and make you cry.
As with all writing prompts, don't forget to have fun.
Prompt: Go about your normal day. (A day where you go out, not one where you stay in.) Pick one person who you do not speak to--even just as a cashier. It's best if you can watch this person for a few minutes, but please don't be a hairy eyeball creeper and stare at them with the cold psychotic gaze of a serial killer. And if you can't help doing that, then for fuck's sake leave my name out of it. I'm already in trouble with the local cops over the "chicken trebuchet incident." Just watch them casually for a minute or three.
Then write about the person you watched for two or three pages. Don't describe them physically--that's not important--but write about their deeper lives. Their hopes and dreams. Their ambitions. Do they have a lot of friends? Who is their best friend? What was their worst childhood experience? How about their best? Do they have a romantic life, and if so, what is it like? What are they doing to sabotage their lives (for we're all doing something)? What are they doing that people would admire? Do they like eating out? Where? What's their favorite food? What's their relationship like with their parents? Was their greatest love requited or not? What kind of art do they like? Are they smart? Funny? Sarcastic? Kind? Uncompromising? Do go home to their kids? Pets? Tragically underpaid blog? What is their guilty pleasure. Go as deep as you can into their "real" persona as you can, and keep going with it for at least two or three pages.
Now...write a small vignette (a page or two) with this character in which you have them meet a character you are familiar with. (Maybe the main character of that story you've been noodling or something.) Have this new character and your established character have a very limited interaction: a few lines of dialoge at most. In the course of their interaction, reveal three of the deeper truths you've figured out about them. You don't want to be ham-handed about this. ("Here's your coffee sir, and by the way I still watch Titanic at least once a week!") Rather work the clues in subtly.
Ideally you want to do this prompt a few times, until you notice that you start to add in a little more depth to all your minor characters without even thinking about it. That's like snatching the marble from Sufi's hand. When you can do that Grasshopper, you will have learned....metaphorically speaking.
Disclaimer- It's very important to do this exercise with a certain level of detachment. This is a fabulous way to learn to flex your empathy muscle with those who are just flitting through your life, but it's important to remember you don't really know anything about them.