Yup, as Faricho has already said pretty much everything that I could have possibly thought of/have been given advice on already. My main fursona is a horse, but I also have a character list, and each of my characters I also identify with. So while not being my main fursona, they are all a part of me.
To lay it out a bit more:
Katayida (Kay) is my main fursona, and is a horse. I identify with horses the most, because of my personal roots.
Nashayan (Nash) is a character of mine, and is a white wolf. I identify with him because he's the tougher more volatile side of me, who lets the soft side out sometimes.
Septar is another character of mine, and is a blue dragon. I identify with her because she is shy and brainy. Sure, but unsure, and very serious, but also curious too.
I have plans for two other characters, a Pegasus, and a black panther, but they are still in the early developing stages.
There's a pretty good tutorial about creating characters here:
http://www.thefurryforum.com/forums/index.php?topic=10009.0Also, welcome.