Compared to early editions of the game, 5e player characters have it easy. They heal all damage overnight. They have lots of spell slots. There are no more undead draining experience levels forever. No rust monsters thrashing magical armor. No Fireball melting magical items. No more instant death at 0 hp. The game provides rules for "balanced" winnable encounters, and monsters on higher CRs struggle to challenge the player characters. With death saves, Healing Word, and Revivify, death quickly becomes unlikely.
(If there is one risk here, it is total party kill: individual death after the first two or three levels is so unlikely that players can get careless and fail to avoid or flee an encounter that could wipe out the whole party. Because the assumption is won fights, the rules also make fleeing a deadly fight mechanically difficult, and this can prove fatal.)
How to scare players?
With everything back to healthy and fresh the next morning, damage and even lowered statistics from undead are not scary. To create scary encounters, use monsters that have the potential to permanently mutilate or weaken the player characters. That is what gets the players squirming.
The variant rule for Lingering Injuries gives every monster the ability to cause quasi-permanent damage. Most permanent lingering injuries require level six or better magic (like Heal) to fix. This makes play in general more high-stakes and scary, and the campaign tougher and grittier.
What is permanent?
What is permanent depends very much on the restorative magic the characters have access to, which is limited by their level.
On level one, death is permanent. You do not have the funds or abilities to revive a dead comerade. Other than wounds, you can undo nothing. So everything is scary. Level one is closest to real live. Disease also can be tough.
On level three, characters gain access to Lesser Restoration. Now they can heal diseases, neutralize poisons (and remove permanent magical blindness and deafness, although that rarely happens).
On level five, characters gain access to Revivify and Remove Curse and have more money to buy magical and divine aid, they are a lot more resourceful and resilient. They can cure lycantrophy infections, and undo recent death. They still need to get help from powerful NPC to fix things like petrification, permanent ability damage or raising the dead.
On level nine is a big step up with access to Greater Restoration and Raise Dead. Petrification, permanent Ability score damage and permanent maximum hit point damage can be undone. This is after a long period from level five, and around this level many campaigns start to wind down.
On level thirteen players get access to Plane Shift, Astral Spell, Resurrection and Regenerate so if a monster sends them to hell on a failed save, they are not gone forever from the campaign. And if they lose their limbs, brains or internal organs, they can get them back and live.
On level seventeen, players finally unlock the top end, with Greater Resurrection and Wish. Nearly nothing is permanent now, you can undo the worst character-mangling mishaps (and that is also exclusively how wish was being used by Gygax and Co. in 1e). Scary here are only the things that even a wish cannot fix, like your soul being destroyed.
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