Ah well, I believe I can lend some first hand experience here.
As a writer and an avid roleplayer, I've created literally thousands of characters and every once and a while one of them "sticks". Whether it be I fall in love with their personality or what have you, they simply just don't fade from my mind. At first they begin like all my other characters do, they are generally developed and mostly dynamic for whatever plot line I am using them for, but then they leave their stories all together.
Let me tell you about Russell.
At first, he started out as a pretty shallow and under-developed character. I almost decided to scrap him; afterall I only made him for one of my roleplays with a friend, but something "clicked" and he began to change. His personality took flight and instead of remaining in the sidelines, like a book on a shelf, like all of my other characters, he began to actively engage in the things I was doing.
The things he would "do" were extremely simple and were probably manipulated by me on my part. Such as I would come across a piece of clothing and I would think to myself: "Oh goodness Russell would simply /love/ that outfit" or "He would never be caught dead in such a thing." Silly little fleeting things like that.
Then he sort of took it a step further.
In my mind he was like another part of myself, like I was him and was formulating how he would respond. That was until I decided to use him in another work besides my roleplay. Then he lept to another roleplay. Then another. Then he started his own story arc...
Pretty soon I would be sitting on my couch watching a movie and some character would say something and laughter would erupt out of no where, exactly how I pictured Russell would laugh. Another time I was walking to school and it was really rather chilly and windy, and I felt a sort of presence wrap around me for a split moment before fading away. I would see a flash of something in the corner of my eyes, something that was just not quite there.
By that point he was no where near what he began as. In the begining he was loosely based of a pirate character in a comic I had seen somewhere, but he had developed into a flamboyant, quirky, endearing, impatient, hot headed friend out of the blue. In essance, he quickly became something of entirely his own design.
At this point, nothing much has escalated further with Russell, he pops up on occassion to say his piece, tell a joke, yell at one of my teachers, hug me or even hold my hand. He's not a solid force and he's not around one hundred percent of the time, but he's there.
And so are many of my other characters who have taken their existance to a whole knew level. There can be an entire argument in my head without me even speaking now, and it's duely crowded, but I'm happy and I know they are too. It works for me and for them, and I'm glad I actually have a name for them instead of childishly calling them "imaginary friends".