First – Tie the character to places or events instead of people.
Blizzard has been pretty specific with us about their major lore characters. Sure there are holes, but between the games, the quests, the website, the books, the RPGs, and all the other various lore sources out there, it's hard to make an argument that your character is the twin brother of Cairne that nobody's ever heard of before.
However, it's pretty easy to see how your character might have served in one or another of the armies during the assault on Hyjal. Blizzard hasn't told us the names of all of (or even many of) the Sentinels, so it would make sense that a female night elf might have been a Sentinel in that assault, even if nobody's ever heard of her before.
You can tie your characters to really amazing events without making a bid at someone "famous" just to make them sound more important. (It's the equivalent of claiming you're a movie star that nobody's ever heard of – other people are likely to not believe you or think you're delusional.)
The lore says the past has happened in such and such a way. The orcs came to Azeroth through the Dark Portal, and Grom Hellscream sacrificed himself to rid them of the bloodlust and demonic dependence. But it doesn't say how an individual orc would respond to such an event. There is no official "all elves responded by doing such-and-such" explanation for what happened after the world tree was destroyed. Simply put, the official story gives us all a place to start, and we build our characters from there.
A well built character doesn't need fame to be fun to roleplay.
They simply need a history – connection to the world of Azeroth – so that they fit in. The major events that happened to Azeroth are things that would affect many people. Using those events and asking "How did my character react to that" is a great way to deepen his or her personality at the same time that you create a tie to the world.
Second – Make sure the character can stand on his/her own.
Using the lore to help ground your character in Azeroth isn't the same thing as using the lore as an excuse to not actually build an interesting character. If the only thing your character has going for her is the fact that she's Uther's long lost lover, she won't be that interesting.
Giving a character a personality is way more important than giving them an important sounding name or a really elaborate backstory. Regardless of who someone knows or what someone's done, if they're boring, nobody is going to want to spend a lot of time around them.
How do you do create an interesting character? Look into their personality. Are they friendly? Unfriendly? How do they react to new people? Do they have any unusual mannerisms or quirks? What makes them strong? What makes them weak? What are they afraid of?
Dimensional characters need both flaws and strengths, things that make them awesome and things make them not-so-awesome. Maybe your character is terrified of spiders or snakes. Maybe he isn't very physically strong, and needs help doing things that require brute force, but he is really smart and knows a lot about magic. Maybe your character is incredibly devoted to another person, a religion, or a faction and it gets in his way when she tries to do things that might contradict that.
Keeping a balance is a great way to get a character started without falling too much into the Sue-trap, and it forces you to think about them as more than just a pixelated and idealized "perfect winner in all things" (the classic trademark of a Mary Sue).
Third – Don't use the lore as a weapon.
Perhaps the most important step in this process is what happens once your character is actually fleshed out, and you step into a roleplaying situation.
The lore is there to give background to a character, not to be a way to prove that your character is stronger, better, prettier, and more awesome than everyone else, whether you're RPing in your head as you tackle a new and scary boss in a raid, on paper or in a forum when you write up a story, or in a conversational situation with other characters.
Using the lore to cut through other people's characters and stories - "Jennia the mage is Jaina's long-lost little sister and she's an awesome mage so she just blasts away all the bad guys, the end!"- is both rude and kind of annoying. Sure it's fun to play an all-powerful character, but if you had a story you were trying to write, or an event that your character was trying to participate in, having someone else walk up and go "POOF! It's all better 'cause I'm awesome" kind of ruins the story.
That doesn't mean your character can't be awesome – every character needs at least one or two little awesome traits and abilities – it means to use those in conjunction with others.
Working together on an event, raid boss, instance, quest, or story is when roleplay shines. Characters working together allow roleplayers to deepen their stories, learn more about their characters, and enjoy the "RPG" part of WoW a lot more than when they're simply by themselves.
So there you have it. Three things to help you build characters that are strong in Warcraft lore without turning them into Mary Sues.
Whether you never really think about roleplay, occasionally think about your character as an independent individual, or put time into developing, writing about, and gaming as that character, roleplaying is a pretty integral part of WoW. There's a lot of really amazing history and a lot of opportunities to play interesting, fun, and dynamic characters in Azeroth.
Have fun, be creative, and look through your character's eyes once in awhile – you'll probably like what you see.
Interested in more information on roleplaying in the World of Warcraft? All the World's a Stage is your source for roleplaying ideas, innovations and ironies. You might wonder what it's like to sacrifice spells for the story, or to totally immerse yourself in your roleplaying, or even how to RP on a non-RP server!