In my experience, one of the most difficult aspects of creative writing is trying to get inside a character's head. Even if your protagonist is based largely on yourself (guilty as charged!), the likely case is that he/she represents some exaggerated part of your own psyche rather than an accurate or fully-developed self-portrait. So, in that case, anything you can do to involve yourself in the emotional state of your protagonist would contribute to the story and (especially) the character.
Now, you might be asking yourself how this can be done. Well, one method that many creative writers use is to write detailed backstories for the major characters. These serve as virtual biographies for your cast and can help a great deal in crafting and solidifying where your characters are at the beginning of your story. While I did take some notes on the two leads of my screenplay and get a general sense of their pasts, I didn't delve into an intimate Biography Channel-style look at their lives.
On the contrary, I took a more creative approach and made (please don't laugh when I say this...) a mixtape featuring songs that I felt reflected my main character's state of mind... as well as the story's tone. In addition, I imagined at what points throughout the film these songs would fit, and this made it even easier to picture the story. Oftentimes, I would listen to this makeshift "soundtrack" while I was writing, and the vibe seemed smoother than usual.
It's also a great way to keep yourself focused and thinking about your creative work. As we all know, society doesn't quite embarace creativity as much as we'd like (to say the least...), and it's sometimes hard not to forget your labor of love when you have 6 million other things on your plate. During those months when I was unable to make much progress with my script, I would often play this CD, and it would, in essence, grease the creative wheels of my mind and keep me brainstorming. As a result, I devised myriad ways in which to embellish and improve my story and characters, and my script has become infinitely better as a result.
Of course, though this approach may have worked for me, perhaps your sensibility is different. Try a variety of different ways to get in "the zone" of your writing, and please bring your ideas to the Table. How do you put yourself in your characters' shoes?