Is there a specific game element — a rule, mechanic, monster, ability or something similar — that always puts your players on edge?

Just to establish a baseline, examples might include level drain (D&D), aggravated damage (White Wolf), foes with grey or white dice (Burning Wheel), critical hits (WFRP) or the tarrasque (D&D again) — all of which present “special threats” to the PCs.