You envision scenes and conversations that take place during the game, but don’t appear in the game itself. If you’re a crazy writer like me you imbue this character with a backstory, with experiences that predate the events of the game. You craft your Shepard and make him or her your own as well. If you enter into these games as an immersive piece of role-playing you end up becoming emotionally involved in your character, in the relationships you form with the companions, in the story.
Why did I do it? Because like many people who had invested hours of play in the Mass Effect franchise I had become obsessed, and when the ending left me depressed and devastated I found that I needed to say farewell to the companions and the universe I had come to love in a way that didn’t leave me both angry and broken-hearted. So, God help me, I wrote a piece of fan fiction that has damn near turned into a novel in its own right.