Sometimes they get mad at me for what I put them through -- Tamara, from my My Life as a Superhero series, stopped talking to me for years because she didn't like the way that the story was going. I had to change it (and write her a happy ending--which was eventually cut out in editing) in order for her to continue to speak with me so we could write her story together.
In the process, though, I have learned a lot about God and my relationship with Him. I tell my characters that if they would just trust me, everything would be all right in the end. I am everywhere in the story at once (I don't always like to write in order, but skip around a lot), and I know the plans I have for them... at least, as much as I plan. I know the end of the story, at least. I don't relish in torturing my characters (okay, most of the time), but I always work everything for the ultimate good of them and those around them.
But still, they hesitate and balk at the hard times and miss the good ones when they are over.