Title says it all.
Having a threatening mysterious environment where things will be sprung on you (and probably kill you if you dont react)
Even better, having various visual/audio clues that something MAY be there ready to do the above.
Apprehension to keep you on your toes (and make you forget various limitations of all else that is shown to you).
An extention of the above would be a game that wont play the same way (on replay) so that onece/twice thru you learn all the secrets and a static/deterministic game path WILL make the same again - losing that apprehension/threat factor.
Even if you face similar opponents with similar behavior, varying the where/what/how will keep you from becoming complacent (and thus lose interest).