I think the keys to creating Compelling characters are three fold:
1. They have to have weaknesses, such as something that the bad guy can exploit, or something that can be an obstacle. Some examples of this in popular fiction is Superman's Kryptonite, or Indiana Jones fear of snakes.
2. They usually have something unique about them to help them stick out in a crowd. Examples would be Harry Potter's Scar or Blade is a half vampire, half human, so he doesn't have the same weaknesses as normal vampires.
3. They can be related to by having a goal, or desire that everyone has felt once in their life at once. An example of this would be a characters desire to be liked , such as Carrie in "Carrie," or the want of a dream, such as Jersey in the movie "Coyote Ugly."
So I think every character has one or more of these traits that makes them compelling. The importance of having a compelling character is that it makes for a much more involved read because you connect with the character and go through their successes, and failures. This is what makes a compelling story since great characters can make a good story even better.