There are a couple of elements that make up a credible threat. It is important to remember these concepts when setting up a compelling scenario for your players to overcome.
The first is that real threats escalate. If left unaddressed they will have worse consequences. That's why it is always best to ask the question "What would differently happen if the player characters did nothing?" If the answer is that things wouldn't end up very bad for the players or others, you should reconsider. A situation like that will make your players feel insignificant and bored, like spectators rather than participants. Maybe the city will be destroyed if the players don't stop the evil cult, maybe the players will be set upon by monsters if they make camp too often.
In any case, you also want to show the escalation whenever possible. The cult burns down a house, the players see the bones of the monsters' previous victims... make sure that these threats are clearly affecting the players. As the session progresses, don't be afraid to toss increasingly dangerous challenges at the players that reflect the rising suspense of the adventure, the need for the heroes to triumph. Show tangible damage caused by enemies, and make them genuinely threaten things the PCs care about.
When a dice roll goes bad or a player leaves themselves vulnerable to a danger, don't ignore the threat altogether. If a player leaves an opening or fails a roll and you avoid acting upon it, that will give them a sense that failure is a bad thing that you want to avoid. Quite the opposite, failure is a compelling consequence that provides both a sense of challenge in gameplay and a sense of drama in the story.
I myself am against adversarial GMing, in which the game runner treats the players as their opponent and seeks to 'defeat' them. However, it is important in most game systems to maintain a sense that failure is possible. In fact, failure is necessary to keep things fun for your typical player. Having everything handed to you with no risk isn't nearly as fun as facing situations that could go good or bad depending on your actions. That's why instead of erasing players' failures, a good DM should find a way to make that failure drive the adventure forward in a compelling manner.
This is why it is important to be careful about using threats like the world or universe ending, or something that would be too horrific to move beyond. If you say "roll to see if you stop Dr. Mayhem from pressing the Doomsday Button," then what happens if the player fails? If the world ends, that's not going to be a very satisfying way to continue the adventure. Instead, you want to have consequences that can still move the story forward. If the players fail to stop their plane from crashing, they may all sustain heavy injuries going forward, but they won't all be wiped out in that single event. If Dr. Mayhem presses the button it will begin to lay waste to the city but it won't instantly destroy everything. Don't make complete and utter failure a possibility for your game unless you and your players are truly ready to accept that contingency.
There are many ways to make failures costly without being so terrible as to dishearten your players. Some players might be more easily discouraged by setbacks, of course. But that's why it is important to show them that it is okay and even fun when they do not succeed sometimes. Player character deaths are often the most discouraging of these events, but there are many ways to help players embrace it when it happens. You can offer a player a less final consequence of their defeat in order to survive. You can allow the character to be resurrected at a future point in the campaign. Or you could allow them the opportunity to play a brand new character and experience something new. This kind of logic can be applied to any bad situation the players face. What's the upside? What new opportunities are presented by this turn of events?
If you shield the players from failure, your players will start to fear it to the point that they panic when faced anything other than success. Or, more commonly, they will just start to feel invincible and get bored with the whole undertaking. Make the stakes of your game direct enough for your players to care about. Make them get worse if the players do not act on them. Control the dramatic tension and allow for setbacks and failures to drive the players to action. And above all, make sure your players are entertained and engaged when they are at the game table. When all this falls into place, you just might find you are having as much fun running the game as they are playing it!
Happy ventures!
Happy ventures!
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