I am currently working out the next steps of the adventure for my players (once they've finished the bit they are on, which is quite self contained so I can rely on getting this next bit lined up fairly easily).

I am putting together a caravan of merchants and traders who I am trying to breathe as much life into as possible.

If you're playing in my campaign, look away now! ye have been warned!

I intend for the caravan to be raided by bandits whilst the party is away doing something else. I want them to return and find several members of the caravan dead, as a plot hook for the next stage of their adventure. I want this to be a fairly heartwrenching experience for the players (within reason) so I need to work out how to build up the players relationships with the NPC's over the initial journey (Initially overseas by a large boat, then onto the road for several hundred miles), which means that what was going to be a largely "and you travel for several weeks" handwavium is going to need more details, but not so many as to drag the game down.

I'm thinking one encounter by boat(pirates, sea monster, storm, something like that) and then an urban encounter of sorts (in the port they arrive at) and then probably 2-3 on the road, the last of which will be when they are away and the caravan is attacked.

How do you build relationships between the NPC's and the players? I'm guessing shared experiences, and keeping the NPCs from being annoying! I'm also thinking of using animals (as people relate to animals well), like a dog that plays fetch or a bear that gives nice hugs.

What advice can you give?

This is highly dependent on the players, but providing numerous personal issues is a quick and easy way to do this. Maybe one person in the caravan is depressed. Maybe someone lost a child or significant other (that can be quickly resolved as a side quest). Maybe someone is very ill that can be helped by a member of the party that is a healer. There are many avenues of personal turmoil that can be addressed and solved via non combat or limited side quests that are easily resolved. A child of a member of the caravan that takes interest in a party member is another example, and when they return this child’s parents have been killed. Maybe a chef that prepared them a memorable and fantastic meal. A bard that enchanted them with a memorable tune and fantastic stories.

These personal connections, even though minor, can help to build a memorable experience that binds players.

As a personal note: I remember doing nursing clinicals in oncology and a stage 4 patient that loved reciting poetry. He had a very strong impact on everyone there - students, staff and other patients. When he passed, it was very emotional for everyone. Just having a strong presence is often enough a notable imprint.

The aspect of animals is also a good one. The purity of character in animals is a strong tie that elicits emotional responses. 

Quote from Cpt_Snickerdoodle >>

The aspect of animals is also a good one. The purity of character in animals is a strong tie that elicits emotional responses. 

 Haha - that was my first thought as well. Have one of the NPC's have a very cute dog (or even puppy). Then kill it in the attack. It's dirty, but it works (but you might have really angry players - just warning you).

But to try to answer your question. First it depends a lot on your players. But try to have NPC's the players can really help. Most players will freely help a penniless widow with a hungry child for instance. It's often easiest to use people in a worse situation than the players (poorer, lower social standing etc) and make it easy to for the players to help.- And remember to give the players pay off for their help. If they decide to give that poor widow 1 gold to buy bread, make sure you mention the next session that the child now is healthy etc. Have her make them a warm scarf as a thank you.

Maybe try some military ties, as well. If one of your players has a military background, perhaps one of the NPC's is a veteran down on his luck. Perhaps they even served together, or knew some of the same people, etc.

Relatability. Our brains are wired to relate to people, you just need to hook into that. Give them realistic flaws and motivations, communicate the successes and failures that got them to that point.

If you want to pull some heartstrings, killing off innocent, good-hearted people with big dreams is a classic low blow. Bonus points if they have made some kind of personal sacrifice for a good cause, like adopting orphans or funding a nursing home or something. As long as they were doing something they whole-heartedly believed in, it doesn't have to be quite that cliche if the party wouldn't buy it. But just in general think about how the tragedy of death isn't just the loss of the person but the loss of all the things they could have done or become. Give them lots of potential that will never be realized. 

It's a little difficult to do over a short period of time but I find pairing the PCs with similar NPCs works well. Create two or three NPCs that are similar to them in background, even drawing a bit from player backstories. If the PCs don't seem to want to talk to any of the NPCs you can have them start conversations. I also like to have some happy NPCs that have a lot to live for - newlyweds, a cleric form a war-torn land looking forward to a peaceful life in a new country, that sort of thing. The impact is greater when PCs feel the NPCs were cut off just as their lives were coming together.

Realistically, you can never tell who your party is going to adopt even for a short period of time or what impact something bad happening will have. My players' favorite character is an annoying bard. I created him specifically to annoy our bard by making him everything she wants to be but isn't. They think he's amazing. I recently had him kidnapped by our barbarians old criminal gang. Our bard tried sending and couldn't reach him. She came to me after the game and pleaded with me not to kill him - not that I ever had any intention of doing so. He's one of my favorite NPCs, too.