The key is to run EVERYTHING like it's a Call of Cthulhu / Paranoia game.
Make them fear for their characters' lives. Nothing focuses their attention like imminent horrible death.
Just ask Tempest, Forbin, Runsamok, or Bibliophile about "The Redmond Slasher" and watch them twitch.
One time when I had to fill in as temp GM in the Shadowrun campaign, I dusted off an old concept of mine. "NPC finds an old obsidian dagger made during the 4th World that, when used to sacrifice someone in the correct manner, gives the wielder karma points (experience points) equal to the victim's lowest stat." I had the dagger fall into the hands of a rogue Aztechnology Expediter/Hit-Mage named Darke, then imagined what he would do with all the karma points 'earned' by slaughtering scores of squatters in the Redmond Barrens...
For a hook I used an NPC runner team from an previous game session, "Karen's Kommandoes" that they'd helped bail out of nasty situation with an insect spirit hive. This time they got there a little late and all but one of them had been slaughtered in fairly horrific fashions. When the players were inefficient in the searching, more people died as Darke slowly went out of control. When they finally cornered him, I played him as out for blood. Everyone had to empty out their Edge pools to survive the first round. Someone got in a crippling blow in the second initiative pass, 2 ticks before his next spell would have outright killed over half of the combined party.
For the follow-up, my own character tried to perform an Astral Quest to destroy the magic around the otherwise-indestructible dagger... and failed. The players just know that he went to Japan for a while and I started playing an alternate character. Two or three weekends later, I'm running again and Meisu has started picking off his old friends.
This was scary on two levels: One, in-game, the guy after them knows all about them and their safehouses, and he has been using the dagger for several weeks to power himself up.
Two, out-of-game, I did this
to my own character because he had some bad dice rolls. When they realized that, the players knew that NO ONE had plot immunity.
Likewise, when Runsamok runs, she will let the most horrible things happen to her character - if it make sense within the context of the game - and she's actually killed off more player characters than I have, at last count.
The assurance that NO ONE is safe keeps everyone on edge. In one game, I violated one of the biggest tropes in adventure gaming. I'm going to spoiler it, just to be safe:
The players visited the apothecary in the village they'd just arrived at, only to find a 9 year old girl running the shop. (The dwarf next door was keeping an eye on the shop too.) She asked them if they'd seen her father when they were out in the woods... to make a long story short, they ended up agreeing to go out and search for her missing father. They found him up a tree and he explained that he'd been chased there by some minor demons in a nearby clearing. After escorting him home, the PC's when to investigate the clearing. Well, the clearing was full of demons, some of which could fly, and killing them all took a long time. It was evening by the time they got back, so they decided to head to the inn for a late dinner and some rest. (Most of the casters were low on spells.)
Well, there were a couple of inconsistencies in the father's story - the biggest of which was how he evaded flying demons by climbing a tree! No one picked up on it though, probably due to a combination of fatigue and a 'sudden attack of brain-dead' as Torbin described it. Well, when they did stop by the apothecary, it wasn't open. Getting suspicious, they broke in. The dwarf neighbor was behind the counter, dead of stab wound. The found the father's clothes and empty skin on the ground. That poor little girl was found in pieces spread all around the bedroom. It was pretty clear from the description of the scene in the bedroom that she had died in pretty much the worst way possible, all at the hands of a demon wearing her father's skin.
Okay, bad things are NOT supposed to happen to precocious little girls that make the players go "Awww!" with the cuteness. My players were pretty much traumatized by that. But it could easily have been prevented. If they'd gone straight to the apothecary when they got back in town, they would easily have been in time to save the little girl, and even the dwarf-next-door. But they didn't. And what the heck else did I think a demon would do to a little girl under those circumstances?
After that little escapade, no one ever assumed that success was automatic in one of my games. It's something you have to work for, and if you aren't paying attention, or screw up, I will be ruthlessly accurate in describing the consequences of that failure.
I used to call this policy "The die don't lie", meaning that I wouldn't fudge things so a player character is guaranteed survival. I think a more succinct version is "Actions have Consequences".
On the plus side, when they DO succeed, the players know that they EARNED the victory, and that it wasn't just handed to them on a silver platter. That makes up for all the prior stress.