Independent characters can only be shot at if they are the closest model to the unit that's shooting. There are other modifiers to this rule too, but I don't have a rulebook to hand to look it up. Basically it stops you singling them out, passing lots of Leadership tests and annihilating your opponent's special HQ character with your whole army's firepower (as much fun as that might be). As far as I recall, you cannot choose to shoot at them if they are not the closest model to the unit that's shooting, even if you pass your Leadership test, which would normally allow you to ignore the closest unit.