Most of these examples were found on the LiveJournal community nonstupidsbers. Snarky name, but an excellent place.
Stephen King believes "his" stories are artifacts he has found and simply puts in print, freely admits to having no control over his characters or the happenings in his novels.
Tamora Pierce stated her characters refuse to help the narrative along if they don't feel the direction the plot is proceeding to be "True".
JK Rowling called Harry Potter himself her "imaginary friend" on at least one occasion.
Laurie Halse Anderson began Speak after waking up and hearing a young girl crying in her house. She then wrote the book to help tell her tragic story because the girl (Melinda) felt she could not tell it herself.
Philipa Gregory has said that without Hannah Green, The Queen's Fool wouldn't exist. Gregory had no intention of writing the novel, but it's would-be-protagonist wouldn't leave her alone until she put pen to paper. Also said Hannah provided her with details about her faith (Judaism) she had no way of knowing.
Megumi Hayashibara made references to conversing with Lina Inverse and Ayanami Rei even after she'd completed the voice-acting for each respectively. She even holds a theory they are somehow externally connected.
Madeleine L'Engle got Peggy enrolled into a college.
Neil Gaiman has said that he talks to the Endless from his Sandman graphic novels, and that Delirium in particular wrote her own lines.
Stephanie Meyer and refers to her "characters" as imaginary friends.
Patricia Briggs on her site's forum uses verbiage such as, "As far as Mercy and I know..."
Ilona Andrews has Kate Daniels explain some things herself on the website.
C.E. Murphy talks about re-visitng Joanne Walker’s world when beginning a new novel in the series.
P.N. Elrod conducts interviews with her characters, which her agent posts on her LJ.
Angela S. Choi talks about having main character Fiona Yu in hear head, and having coffee with her every morning.
Anne Rice treated her characters as real people, especially Lestat (although this is past-tense now, since she has renounced all things vampire as "evil"). Connected, it was said that Tom Cruise and Brad Pitt had "in-character" moments off-set while filming Interview.
Johnny Depp said After Pirates of the Caribbean: Curse of the Black Pearl was released, that he would be thrilled to reprise the role in potential sequels; he said he missed talking to Captain Jack Sparrow.
Heath Ledger used intense method acting to create his version of the Joker including keeping a journal of his thoughts. This helped spawn the urban legend that Ledger had become too close to the character and killed himself as a result.
Viggo Mortensen "stayed in character" to the point where people were calling him Aragorn accidentally during the filming of Lord of the Rings.
Jim Carey refused to get out of character during Man On the Moon. There was a radio interview with him, in which he talked about how Milos Foreman, the director, would call him up and say, "Okay, I need to talk to JIM now," and Carey would respond, "What, so should we just fire Andy?"
Val Kilmer while filming The Doors came to be called "Jim" on set, even by people who'd known Jim Morrison while he was alive, including the other members of the band.