I'm inclined to think that character generation is a pretty important phase of a game. Not just for the obvious reason that it gives you the character you'll be playing, but also because I think it's going to significantly affect the way you feel about the game.
Except for those cases where you've talked about a new game a lot with someone who knows it before trying it out, or listened to a lot of Actual Play or something, chargen is usually your first significant contact with the game. It exposes you to terminology and at least some aspects of the mechanics, and it offers you some degree of choice. The tone of the system, and the kinds of choices you're encouraged to make, give you an impression of how the game wants to be played. The emphases it places on particular aspects of characters, and which choices are mechanically necessary, tell you something about the game.
Does it encourage you to decide and record your character's clothes and manner in detail? Then dress, socialising and appearances are likely to be important. Does it want precise details of your equipment, skills and specialisations, and CV? Then you probably need to think hard about preparation and the best way to approach problems with your existing skillsets. Do you pick Merits, or do yo pick Flaws? Do you have total control over the process, or is it largely random? Are you obliged to build characters collectively, with formal relationships established between them (perhaps with mechanical effects), or do you just roll up whatever you like? Are your options limited by mechanics like level requirements and wealth-by-reputation, or by more realistic concerns? Do you just pick a handful of attributes, suggesting a broad-brush system with a lot of leeway, or are there six or seven subsystems to consider? Are there long lists of options, or do you make up your own? Are you putting points into Arctic Survival and Server Maintenance, into Space Tactics and Guns (Laser), or into Whining Until You Get What You Want?
The process also tends to affect your investment in a character, and in other people's characters, and thus in the game. For this reason, I think it's very important for games to be up-front about problems that can arise during chargen, particularly those with a lot of random factors. They also ought to be reassuring about apparent problems that don't actually cause difficulties in play, and perhaps to consider playstyle. A D&D character who rolls a string of single-digit abilities has no outstanding competence, is unlikely to outshine anyone else in any sphere, will be unable to cast spells at all, and can't even carry much gear. In a dungeoneering or expeditionary game with a lot of mechanical challenges, these weaknesses will probably make them unsatisfying to play, and leave them a burden on other party members. However, in a game that's more about socialising, day-to-day living and low-mechanics play, they may be a more interesting character than someone with higher stats.
Another example would be my messing about with Traveller. As I mentioned there, having my characters repeatedly injured and failing at careers was quite demoralising. It establishes a sense that the character is a failure, and because this is a consequence of randomness, also contrasts that with the benefits of success (a system where you necessarily failed at stuff would give a quite different tone). In addition, your character can end up quite different from what you initially expected, and that isn't necessarily a plus. These factors can make it more difficult to invest in the character. In this case, Traveller would really benefit from some reassuring pre-chargen text that emphasises that a) you can, and should, repair injuries through surgery; b) you're expected to go into debt and deal with finance, and surgery costs are just part of that; c) don't get too invested in a character concept early on, it's only a starting point for your 18-year-old self, so it'll adapt quite a bit before you hit 40.
In many cases new players have an experienced GM and/or players to help out, explaining or simplifying the chargen process, and smoothing over concerns. However, this isn't always the case, and often a whole group encounters a game more or less from scratch. In either case, being confronted with something like the D&D 3.5 character generation process can be somewhat overwhelming, especially when groups rarely have enough books to go around. Players are left trying to puzzle out multiple interacting sets of options, many of which don't mean a huge amount without existing knowledge of mechanics, or have prerequisites. These can be fairly quick and easy for an experienced player who decides in advance what they're looking for, but offputting to a newbie: if you don't really understand how to make a character, how much worse must the game be? In reality the game is often simpler, with chargen being a case of information overload. It's also possible to build characters that don't really do what you wanted or are flawed by lack of understanding - which can disappoint players early on, or else worry those who anticipate the problem.
Anyway, so I will probably do some more posts about chargen sometime.