To create empathy you need to elicit the same emotion in the player as the game character. You do this by using all the tools you have at your disposal: art, music, game mechanics, writing etc. My favorite example is how Suikoden 2 made me empathize with the pixelated sprite that is the main character (spoilers):
Throughout the game whenever you rest at an Inn you are always waken up by your sister Nanami, who always says something cheerful to you. This happens so many times you start to take it for granted. At some point in the game Nanami dies and the fact that she is gone really hits home when you rest at an Inn and when you wake up you are no longer greeted by anyone, just silence. I've never seen the sense of loss communicated more effectively in a video game.