Gaming is all about tension, adventure, and over-coming obstacles. PCs hate the idea of waltzing over all their foes effortlessly, winning without exerting themselves, and receiving "charity" from the GM. (Exception: nobody likes to die for no good reason and dying is covered extensively in the Character Inheritance and Saving the PCs Butts sections.)
However, you want to maintain tension and suspense. Gothic RPGs would have us believe only laborious verbal descriptions and playing "Enter Sandman" in the background can accomplish this, but there are many ways to make the PCs nervous. Here are some suggestions.
Everyone loves a chase scene. A chase scene can involve combat, or it can exclusively be a chase (or race). If the game master does not have a firm grasp on vehicle combat rules, or has not invented his own "on the fly" chase rules, the sequence will not work.
Now a chase scene can very easily become a tiresome sequence of dice rolls. To avoid this, mix things up. Steal ideas from movie chase scenes and video games like "Super Mario Kart." You can make chase scenes as complex or as straightforward as you want.
Perhaps the tensest moment in our GURPS: Victorian campaign was Percival Blakely's race against Sir Elliot Elliot's ninja bodyguard Akira. Characters made a Riding test four times per lap, with four laps, keeping track of the success spread for each roll and adding it to the preceding success spreads. Characters could "push" their steeds an extra 1d6 on a successful Animal Handling test at the cost of one fatigue (to the animal). The tenseness came from Percival's losing until the very end.
This is reasonably straightforward. It won't work, though, if players know you'll never really let them get hurt.
You need to be careful with this one, because some players will feel picked on and really throw a fit. As a rule, if you're going to take away a toy, take something away from everyone in the group.
This is especially important if your campaign includes big gnarly weapons. It's okay if the sharpshooting smuggler shoots down legions of stormtroopers, but the main villain easily deflects every shot, then telekinetically pulls the gun out of his hand.
Taking away toys will hurt particularly those characters who have min/maxed at the cost of everything else. The maxe-out swordsman loses his sword, the powerful mage enters a low-mana dimension, EM radiation turns all cyberware off, the lesser lord fails a reaction roll and gets shot by his accountant.
Don't do this too often, because characters like showing off their cool powers, or else they would have gotten them. Use it to heighten tense moments or to punish them for doing something stupid (i.e. thinking they can waltz into the police station with a gun in their ankle holster and avoid confiscation).
If characters have gone through unusually challenging events or met very powerful villains, you can make them nervous by reminding them of these events or villains. This doesn't just provide continuity, it heightens tension. The continuity need not even be restricted to the character: pick at scabs from different characters, game systems, video games, whatever.
Many disadvantages (wealth, any reaction modifiers, most physical disadvantages) will always hinder the character. Many others (code of honor, sense of duty, dependents) are integral to the character and always dominate the character's actions and the gameplay -- the character would probably still play as though he had a code of honor even if he didn't take it as a disadvantage.
However, some players munchkinishly find those disadvantages that will do the least damage. For example, three levels of Weak Will (-24 points) and IQ +3 (30 points) for a net cost of 6 measly points (unless you play with Will as a separate attribute). To countermand this kind of abuse, the makers created the "Rule of 14" for Will/IQ based disadvantages.
Some disadvantages manage to slip by the Rule of 14 and other game system checks and balances. Phobias, obscure reputations, vulnerabilities, allergies are excellent examples of this.
Now if you REALLY want to make a player nervous (or just mess with his head for taking just silly disadvantages like fear of the number 13), hit his obscure disadvantages.
Be selective, though. If he's afraid of cats, don't send him time and again to a bar full of cat-people, but make the boss enemy's henchman a giant orange cat that appears at the final, climactic moment.
Something I love in weird science or high magic adventures is the idea that characters can drink a potion and gain a nifty power. Something I love even more is that along with the nifty power comes a nasty (or even just silly) disadvantage. The mathematics of GURPS lets you imbue characters thusly without seriously disrupting game power levels.
Not only will this make those players nervous who are too cowardly to drink the magic potions, but players with a little more adventurous spirit will chug to everyone's delight. See the Randonium adventure.
These can be used incidentally throughout the course of a non-tense situation to keep them worried. Keep in mind, PCs are clever and will know if you're bluffing. To quote George Burns, "The most important thing is sincerity...and if you can fake that you've got it made."
This is less a technique and more a frame of mind. You have to let the PCs know you mean business, that if they don't act quickly and intelligently they will lose. If they don't beat the Orks they picked a fight with they will get killed.
As stated earlier, don't go out of your way to kill characters. If they do something stupid, though (and they will), let them have it. In one sewer-based adventure Andrew set a dynamite trap. Eric's character came running through and hit the trip wire. "How many sticks of dynamite did you use, Andrew?" Smirking, "All of them!"
It was funny, except for Eric, which no one minded.