Getting Your Hooks In
It’s always tough to make a player emotionally invested in a fantasy world, but that’s way too much to cover in one post, so right now I'll focus on making threats the players will care about. A villain is no good if the goal of their dastardly plan is to destroy something the player doesn’t even like in the first place, or overthrow a far away kingdom, or raise the price of space beets. The logical solution to this is to threaten something the player likes, but this is not as easy as it seems.
First, you have to actually figure out what the player likes, and is willing to sacrifice for in your game world. A helpful NPC, a kindly old lady, the town the player grew up in, or a relative selected at random are always good choices, but they are also the obvious choices. Players will fight tooth and nail to keep their favorite bar in business, to protect their alma mater from being overrun by demons, or to stop the murder of a government official they actually care about. Make a clear threat on one of these and you’ll have the players up in arms in no time.
Second, you can’t overdo it. Sooner or later, players will stop caring about something if it turns into a constant source of grief. A relative who is always in trouble tends to get ignored rather quickly, kindly old ladies are only worth so much trouble, and that school never washed it’s toilets properly anyways. And then there are the things you can only do once. Only once can you threaten the place the players feel safe, or the NPC the players are truly attached to. This may seem like a hamstringing rule, as what could the players care about more than what is most important to them, but if the players secret stronghold is ransacked twice, or the sweet little girl they take turns babysitting turns out to be a demon and a werewolf, they will never let their guard down again. Which might be what you want, but otherwise is to be avoided.
Remember, threaten the things players care about, but don’t go overboard.