Most of those games are basically from beginning to the end a work of the fan/fans (this excludes situation when someone "borrows" graphics").
Using someone else's character is not something unknown to the "art". It may be a copyright issue, or it may be not, depends on how original the fan game/book/movie is, or the way that character is used (as a main character or just a small part of the game)
In many cases it's not the copyright issue, but trademark issue.
Gremmi: otherwise someone just drawing a picture of an existing character would be an illegal act. However copyright holders still have the right to stop large fan projects on the grounds that it could be confused with official releases.
It is because copyrights protect the expression of the idea, not the idea itself.