When readers are truly worried about your characters, they keep turning the pages or watching the show. I've known that for a while, but I recently stumbled across a TV series that taught me something new.
Presenting a character's vulnerabilities on many levels compels people to stick with the story.
I've long known that concern for characters requires two things: People must empathize with the characters and the characters must be at risk. For the first, stories where a character does something noble (classically, saves a cat) are common, but there are other ways to build empathy. we empathize with wronged characters, with those who have an interesting talent, and with those who are funny, according to Damon Knight. There are other approaches, but, as a general rule, people want to empathize with the protagonist unless the actions and descriptions are boring or foul. You can't do anything about boring characters, but foul ones can be saved by adding positive traits.
For some authors, creating risks, dangers, and vulnerabilities is difficult. They are comfortable with exploring flaws, and they reflexively shy away from the chance that the characters could face real suffering. I found some success in counseling writers to focus on cravings as a way to include flaws. Suffering? Some people are too kindhearted, even though they'll admit that the challenges to a character are what promote growth and change (essential to most successful commercial fiction).
The show I came across was the original, Venezuelan version of The Cleaning Lady. In a half hour, the writers got me so agitated with concern about the protagonist I had to stand up and walk around to some my nerves. What they did was expose a series of vulnerabilities in the character. Her job is in jeopardy. Her boss is a soul-crushing bully. She has a critically ill son, and depends on a somewhat feckless mother to help care for him. Because she's so poor she has to work two jobs.
For her second job, she's employed by criminals. She witnesses a murder and is forced to destroy evidence. The detective in charge of the case is clever and suspects her as an accomplice right away. The criminals who hold both her employment and her life in their hands are messy and incompetent, inviting more attention from the law.
She's vulnerable in terms of family, safety, freedom, reputation, psychological health, and life. That's a lot to worry about. The attacks kept coming and the stakes shifted through a variety of possibilities… And I couldn't stop watching. I was reminded of Breaking Bad's pilot episode, where Walter White's health, family security, and dignity were all under assault. The pilot for My So-Called Life also exposes multiple vulnerabilities, even though it is a domestic drama with no focus on murders or criminal empires.
Cruising up and down Maslow's hierarchy, it's easy to say that life makes all of us vulnerable because we all have essential needs. The job of the writer is to create enough vulnerability to make a story compelling. So, if one vulnerability doesn't do it or doesn't create enough storylines, it's a good idea to add more. Personally, I went back to some of my stories and found some that already did a good job and others that immediately benefited from exploring more ways in which the protagonist could be made more vulnerable. Though I lean toward simplicity, my new rule of thumb is to see if presenting three or more vulnerabilities early in the story can make people (reasonably) worry more about my characters. (Shorter works don't usually need more than one vulnerability, so this is for longer works.)
Balancing all of this is the power the protagonist has. In an age of super heroes, it can be helpful to consider how reducing options and undermining the strengths of a character can make things more interesting. There is a reason why the creators of Superman invented kryptonite.