We recently finished reading the Alexandria Quartet by Lawrence Durrell. Lots of juicy thinking about it and discussion.
One thing that occurs to me about it, is that it's not just that the characters in the books are deep and interesting, but that we ourselves discover learn more about them as the novels proceed. It's not simply that we are told more, it's that we get to go through the exercise of hypothesis, confirmation / rejection, new hypothesis etc., just as we would when we try to understand human beings in real life.
This way or relating to a book seems fundamental to the novel form. Compare this to fantasy / science fiction books I've read and enjoyed, even ones with complicated and interesting characters, and they lack this dimension of time and learning.
This applies in literature outside the novel, of course. As we read the odyssey we gradually come to understand that Odysseus is not a wholly admirable hero.