These are lessons learned from the Order of Magnitude. Feel free to chime in with your own.
1)...the party's comic relief pulls a face-heel turn, joins and then betrays the current archvillian of the story and becomes the new dark lord for the party to face.
2)...the party's spellcaster is creepier than any of the shambling horrors or psychotic mutants the party has faced so far.
3)...you can make a PC's eyes explode out of their skull and get applause from the players.
4)...when faced with a mysterious prophet muttering dire warnings the party will immediately dog-pile him and try and beat straight answers out of them.
5)...when the party manages to talk their antagonist into cooperating with them and still ends up fighting them to the death.
6)...when building a new magic item destabilizes the local economy and touches off riots.
7)...when the most terrifying encounter the PCs face is the return of a halfling dart-thrower and his annoying gnomish bard companion.
8)...when your players remember the names of your NPCs without being reminded.
9)...when a mention of the word "biscuit" can set off an hour long story of past glories.
10)...when you offer a player dark powers at a terrible price and they say "yes" without hesitation.
11)...when your party spends half an hour debating the moral rights of an animated rotting corpse that just tried to kill them.
12)...when you can send the PCs through the tomb of horrors, against a steam-powered robotic santa claus and the Great Pumpkin and they still show up next week.
more will be added as they occur to me.
EDIT: some more...
13)...when a party member realizes that a new NPC is an obvious evil spy, the rest of the party ignores them and is still completely shocked when they get betrayed.
14)...when you can pull the same trick in #13 twice in a row.
15)...when the party's favorite quest reward is a new house.
16)...when hanging out with a friendly vampire for a couple of days is the most memorable and traumatic experience in a character's career.
17)...when fallen party members actually get a funeral.