This is fresh in my mind because I am so stuck on this theme personally and it seems to be permeating 99% of what I write BUT
I love it so, so much when a game makes your protagonist really vulnerable. Especially if that vulnerability comes from a lack of control (your control, as the player) or lack of resources (both for player and character).
My favorite games all seem to have this point in common: a moment when you either lose grip of your protagonist--your link into this world, essentially--or that link is so drastically changed that you are forced into the emotional discomfort that the character themselves feel.
Final Fantasy VII is my absolute favorite example of this. Do you know how incredibly powerful it was for me when, for the first time, Cloud gave Sephiroth the Black Materia? And then later when I LOST Cloud completely? And when I found him, he was a sick babbling mess in a wheelchair? My protagonist was taken away from me entirely, and when I got him back he was the epitome of vulnerable and helpless, and it felt so incredibly uncomfortable in the best possible way.
In IX you get a taste of this, as well, when Zidane cracks and his friends need to bring him back to his senses. The entire "You're not alone" sequence of events is extremely well done and very powerful from a storytelling standpoint, but as a player you're also faced with the sudden realization that your protagonist is really, really struggling and shit is about to get difficult for you as a result.
Chapter 13 in Final Fantasy XV is another take on this experience, and though not quite as well done (I still think it's too long) the feeling remains. You are helpless, alone, and at a mere fraction of the strength and ability you've had for the rest of the game until this point. I also think that, as a character in general, Noctis' vulnerability is the thing I love most about him--but for the sake of discussion I focus on this part of the game in particular. His despair after Chapter 9 is heartbreaking and uncomfortable but as a player, you don't REALLY feel it until he's trapped in that dark maze by himself because it's not tangible in a pressing-the-actual-buttons way.
Even in Twilight Princess when Link first gets turned into a wolf! A different kind of example, but the same thing--you are forced to deal with a massive and traumatic experience for your protagonist and you can actually feel it because it affects the way you play the game.
I just love it when a game does this and does it well. And I guess that's one of the reasons why I'm so deeply entrenched in exploring the psyche of the Warrior of Light and why little amazing details like that paranoid look at Aymeric's steward make me punch-the-air excited. We, as the player, and as the protagonist (no matter how your personal canon works, I'm talking strictly in-game stuff) have made an entire career on daring rescues and heroics to aid others and....
I think it's time for the WoL to be more vulnerable.The hints at PTSD are a good start. Let's get into a bad situation and have somebody else come to rescue us for a change.