Hmm. As an openly admitted canonwhore who does occasionally try to fic (even though I don't think I've produced anything worth posting)...
I prefer trying to stay near canon because I really really like ZUN's work, and if at all possible -- even before the characterizations and the plot details -- I want to stay true to the mood and atmosphere and... worldview, I guess, or feel of his canon. Trying to imitate what I see in there while also expanding on it to explore things I'm curious about is rewarding. Of course, if characterization is subjective (and it is), "feel" is many times moreso, so whatever I end up with is likely to only work that way on me. But hey, I like it.
I am often dismissive of fanon, perhaps sometimes unfairly. Ruro's right that a lot of it is just backlash against people who get in through the memetic mutation and don't know any better, unfortunately. Since I like canon, fanon that replaces it doesn't interest me, and in many cases seems like it's more generic and less interesting (poor, poor Alice indeed). But canon certainly does have holes and unexplained mysteries that can be very fun and interesting to speculate on. I don't see individual speculation and extrapolation as the same thing as fanon. Fanon is something that's grown and taken on a life of it's own, but it's good to remember you can always try out one interpretation in one story without affecting anything else, even your own other fics, after all.
The Mommy Shinki thing is a weird example. Alice's place in Makai is something unexplained in canon, and it's rich with possibilities what with the retconning she's been through. The idea that Shinki adopted her as her daughter is one possibility, and it's a perfectly good one, with no more evidence for or against it than anything else. But it bothers me how much people seem to take it for granted, to the point where it doesn't even occur to them to consider other takes on it. Even if you don't take the opportunity to play around with speculation of your own, you ought to at least put some thought into whether the common interpretation is the one that works best for you.
I'm also of the belief that it's better to know what you can about canon whether you want to use it or not -- much like stylistic elements of writing, you have to be able to follow the rules before breaking them can be a deliberate choice.
Er, anyway, about personalities... deciding how much you want to bother with canon could be a good starting point by now, heh. It's true that most characters don't have much, but that really, really depends on the character; Marisa has a huge ton of dialogue and roles in everything and wrote a freaking book, Yamame not quite so much. The less there is, the more freedom/burden to make stuff up you have. I'd look at the dialogue and the background and think about why this person is in this place, what they're trying to do, what gets different responses from them, and what that might say about them. And what might possibly be going through their head...
