When I'm making the movie, I absolutely do. I work so hard, and out of the raw material that is the script and talks I have with the director, the writer, I create, I hope, a very specific person who wouldn't have otherwise existed. However, do I then attach and hang on to the finished product? No. The experience of the creation of the character is what feeds me, what excites me, challenges me.
I think that every piece has its challenges. I love going back and forth between one and the other. I'll always pick a comedy over a drama.