Note: I tell them what to say. I don't tell them how to say it.
Because every character has a very defined speech pattern. There is first of all their nationality to consider. Johnny Rotten will not say "Y'all have to come see this!", and James Hetfield will not say "I've not slept in days." They'd say "You lot have got to come and see this!" and "I haven't [fucking] slept in days." The Sex Pistols [or the Pros, for that matter] are not Americans, and Metallica aren't British. Likewise, U2 are Irish [which is not quite the same as British], Bryan Adams is a Canadanadian and Savage Garden are Aussies. This is a very fundamental thing.
Then there's the social class, for lack of a better word. Giles doesn't speak the same sort of British the Sex Pistols do, for example. Some characters swear, some don't. Some characters use 'big words', some prefer blunt, straightforward language. Again, very fundamental.
And then there's all these little words and voice-bendings that make a character's voice unique. That's how I identify with my characters; I hear their voices, I internalise them, I make them a part of myself. I do not make myself a part of them. I'm Brit-speaking, as I'm sure you've noticed. I couldn't for the life of me even type "y'all" in normal speech [email, LJ, chat], but when I'm writing, say, Fred Durst, I have no problems using it. I'm not American. Fred is. Very muchly so.
Remember: you tell your characters what to say, not how to say it.
And aside, when telling them what to say, of course you have to make sure that what they're saying is actually something they'd say, but that should speak for itself and isn't really a dialogue issue and therefore for another rant.