In ballet we have 3 types of dance: classical (in which there is no "storyline", it is more about technique), demi-character (which has a storyline) and character (a fusion of ballet and an Eastern European folkloric dances). In demi-character you can have a big variety of characters to play, from sweet innocent girls like Swanhilde to an evil fairy like Carabosse.
In belly dance the roles are not always so clearly defined, unless you are in a production like Belly Dance Evolution's "Alice In Wonderland" where your character has a definite story. Demi-character roles aren't common place in belly dance. Mostly, we dance what is comparable to classical and character dancing in ballet. However, we still have characters that we portray perhaps without knowing it. In a balladi we are a more sensual character as opposed to the tongue-in-cheek woman in a shaabi dance.
Shira defines 6 different personalities in belly dance. Each one has a different feminine role in life, and different story. I found her article Exploring Stage Personalities very interesting. I read it several years ago and it changed how I choreograph and perform. Taking on a character gives you some direction and focus. I often see amateur choreographies will start with one personality then suddenly become another for the rest of the dance. It doesn't flow nicely and leaves you wondering what was going on. What changed in the music or was there supposed to be a storyline?
My advice is to find what suits your personality and start there. I know that Mel is cute and cheeky by nature and I'm more sensual. That doesn't mean Mel can't do sensual and I can't do cheeky. It just means we have to work harder to achieve the right personality for the dance if it's not what comes naturally to us. By starting with your own personality and slowly experimenting with others you can build up a repertoire of characters whom you can pull out for whatever dance you are doing. It also can take your improvisation to the next level.