Make the player feel like he is fighting for his life and not just the avoidance of a load screen:
There was a game with a QTE tap X sequence (spoiler alert, it’s a PS3 exclusive in a top non Sony franchise) where your character gets more and more hurt as you crawl your way forward through a nuclear microwave. It was epic in feeling and you really felt like you were trying to endure the pain and escape through the other side. Plus the build up through dialog made it seem like a suicide mission. The end result was somewhat stilted since the whole ordeal was undermined by events that took place afterward, but during the sequence it was TENSE. More of that, but with less button pressing (look for something more creative than making the player keep tapping, please) I’d say could go a long way toward making a player sweat in more games.
Make death or capture story altering and final: A certain game this past year saw it’s protagonist die and another take over in the persons place. It was a very effective plot device and it was unavoidable and very tragic. Better (worse?) yet, the player dies in a gameplay scenario which is an affront to what we know about games; gameplay isn’t supposed to have dead ends, where every dangerous gameplay situation can usually be won with enough effort/skill.
There was a scene in Killer 7 where you just watch your character(s) get slaughtered with no way around it. That was hard to sit through because of the same thing, characters that I had grown accustomed to died one by one without much I could do about it.
In the microwave scene I mentioned above, what if the character could not take the torture anymore and just gives up the ghost and an alternate ending played? You care so much about this character, that would have really messed with so many players. Sure, they might have quickly rushed to gamefaqs to find out if that was the real ending or not in a fit of nerd rage but it would evoke something more than the usual feeling of the same old same old hero survives impossible odds scenario.
The true threat of loss, but we must move on: Losing a character permanently or just for an extended time when he dies is very powerful. Teenage Mutant Ninja Turtles on the NES had you losing one of your 4 turtles when you died, and thus pulling out Donatello was always a risk of losing your best turtle and being stuck with Raphael, and using Raph sucked, hard. When you lost a turtle it was often so hard to get him out of captivity that you would lose another in the process, but hey, at least you would get Donatello back.