While not necessarily linked to what I've been talking about the last few points, I felt I'd take the time to go into a bit more in depth what I keep saying you should do in the games you are running. Namely, give your players a choice. This is something a GM should be doing pretty much all the time, whether it is a small thing or a big thing. In fact, I've yet to see a situation where someone didn't have a choice that I thought was good GMing.
See, giving someone a choice is the same thing as giving them control. Sure they can't control everything, but in the broader sense they have control over what group of effects actually, well, effect them. When you don't give a choice, you are taking this away. Take away choice in a matter once and it is called GM Fiat, when the GM just makes something happen willy nilly. Do it multiple times, and you are well on your way to, if not already at, rail roading. Which is something I don't know any good GMs who support it. Maybe there are some out there, but in general most good GMs I've seen (and most players) speak out against rail roading.
When players have choice, even a bad situation can suddenly become better on the out of character level. To use an example from one of my own games, about a year ago I was running a Legend of Five Rings Lion clan military game. The game ended in a Total Player Wipe, but everyone was happy with the outcome. The reason? They had chosen that to happen. Their group was beaten and bloodied, but they were also the only group that knew the Dragon clan was invading their lands. They had to get word back, and so began a forced march back to base. They woke up one morning to find that a group of 22 Dragon were not that far away. Left with the choice, try to fight the group, or keep going as hard as they could, they chose to fight. One person was sent as a runner back to base while the other 7 stayed behind to challenge the dragon and fight it out. All the PCs died, 4 dragons survived the fight. Everyone was happy with the outcome.
Now picture that scenario if they hadn't had the choice. What if I had simply forced the fight on them instead of giving them the ability to decide? Suddenly it is not an 'epic last stand' but instead the GM killing the party. It isn't something to be proud of with an impressive kill count, it is the GM forcing the end of the game. Now granted, their choice was "Fleeing from battle" or "Fighting to the death" but it was still a choice that they had, and when you set the situation up right that choice is plenty for them.
Now granted, I don't recommend every choice be between something that could be twisted as cowardice and death, but when you are doing desperate or unwinnable situations that little bit of choice can be enough. I can fight it out, or I can live and fight another day. I can go out in a blaze of glory, or I can try and bide my time for a complete victory later on down the line. Those choices make the story, the ups and downs and they show how the characters are developing within it. It is, in my opinion, wrong to rob them of that ability to choose.
So, no matter what game you are running, no matter the situation. Make sure your PCs have a choice in what happens and what they do.