I won't necessarily recommend my experience as the best style, but it did become remarkably popular...
Unlike most of the writAARs who've spoken up so far, I started my AAR (Fire Warms) to tell a story about the game through characters who I knew nothing about at the start, and I also lacked any kind of plan for the AAR when I started! It was to be an episodic tale of relevant characters who were each to be first identified by the gameplay.
I'm misleading slightly -- I did have two "major" characters at the start. One was the German Kaiser, and the other was a Bismarckian Chancellor. But they were never meant to be the only "main" characters, and as the story developed they both ended up receding into the background. It can be argued that Louis Napoleon (an enemy emperor!) had a more interesting and influential role in my story than either the first Kaiser or first Chancellor!
I set up each scene to illustrate the gameplay, and created and maneuvered characters entirely to the end of accomplishing the illustration. If there was an invasion, I created a character from whose eyes we could see it. He might become a recurring character (many of these did), but you might not ever see him again. I had dozens of interesting characters who were the "main characters" of individual scenes who completely disappeared from the story after that scene was done. The characters who stuck around (in the early stages of the story) did so only because I kept needing to write scenes in which they were required to be (cabinet meetings, famous generals in battle after battle, etc.).
I also made a habit of using historical characters as much as I could. Sometimes they stuck around (Louis Napoleon, Kaiser Wilhelm II), and other times it was just a cameo appearance (Gen. Sheridan, Gen. Patton, Lawrence of Arabia).
Later on, it took on a more traditional style, where the main characters became the Kaiser, Kaiserin, some close friends and cabinet members. But, honestly, I think this only happened because the readers demanded it!
The readers, by that time, had grown attached to certain characters, and so I kept writing them in, because I knew people would ask about them if I didn't.
Nevertheless, I kept up my episodic style to the end. Occasional recurring characters, like Sgt. Steppenwolf, or a young Adolf Hitler, who played major roles in story development. And then there was still the occasional throwaway character, like the British pilot whose last moments we witnessed as the Red Baron closed in.
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