Actual connection to characters. Giving the characters a decent personality and making the players feel like a friend of the characters really is a big key to making them give a shit about anything that happens to them.
The amount of times a game tried to make me feel bad about a characters death without ever investing time in them is crazy. You have to nail the character introduction first before anything else matters because once the player puts themselves in the character's shoes, then whatever is at stake for the character starts affecting the player.