This post is gonna get a little philosophical so bear with me.
I think that our character is the main character in the story, with our buddies supporting us (all a matter of perception). But, we created them, so how do you view your character?
A.) Just someone you made for the story. In this thinking, you really aren't that close to your character.
B.) A vessel for your conscienceness. Your body can't enter Eorzea, but your consciousness can. "Hmmm, do I fight this marmot, or that opo-opo?". You realize it's a game and your character is just a vessel that allows your conscienceness to travel to another world. Similar to C but you realize it's not real. Like virtual reality.
C.) Your character is your alter-ego. Similar to B, but you pretend that the game is real. You temporarily suspend belief to make your mind believe it's real. YOU are your character. When you log off, you are sorta disoriented and takes you a minute to think "Oh yeah, it's just a game".
Like Total Recall I guess lol.
D.) None of the above, please explain.
There are no right or wrong answers, we each experience the game in different ways.
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As for me, I'm more of a "B" person. I know this game isn't real, but I give my consciousness to my character. My character can make decisions (my conscienceness does for him) like, gee, do I want to take a chocobo to this camp, or teleport?
Though some days I'm C. I get so into the game, I forget it's not real. But mostly B