Over the break I had some time on my hand and rather than be productive I figured I'd waste it on netflix. To that end I cued up an anime series I had heard good things about, got eighteen episodes in, and lost interest in finishing the story. The reason I lost interest is relevant to us as GMs because it wasn't that I didn't like the characters, or the plotlines, or the world. All of those were perfectly fine - I wouldn't get eighteen episodes in if they weren't. No, the problem was that eighteen episodes in I realized that the two main characters were so powerful that it would be a total ass pull for the series to actually present a challenge to them, and that meant there was no threat and thus no tension and no reason to watch.
How Does This Matter To My Game?
It's rare for an RPG to end up with PCs so powerful compared to the NPCs that there is zero challenge to them, though it does happen. Also, the warning I wish to convey here is not about PCs getting too powerful because I don't think there is such a thing really (ironic, I know considering the intro paragraph.) The warning here is about success being too common and too easy to acquire.
In your game ths can appear in a number of ways. The most common are: an NPC always arrives in time to save the day, PCs are never killed even if the dice says they should be, the plot moves forward with no ability for the PCs to change things. In effect, if it is impossible for the players to lose, to fail, then what is the point of the game?
Failure Is An Inherent Part of RPGs
Seriously. Failure is an expected, desired, and mandatory part of almost every RPG out there. You know how you can tell? Because we use dice, or some other random number generator, to determine if success happens. Read that sentence again: we allow chance to determine success.
Everytime a player rolls a die there is a chance for failure, and since there is a chance then on a long enough timeline failure is not just a possibility but a reality. Yes, sometimes the players will have incredibly lucky streaks and just roll crit after crit, but the opposite is also true.
However, dice based failure is not the only kind of failure out there, and as a GM it is your job to embrace those moments when failure can happen just as it is your job to embrace those moments when your PCs triumph despite all odds.
The Feeling Is Most Important
With four to six players it is unlikely for everyone to fail on a given check unless it is unreasonably high or a check in an area not everyone is skilled in. However, like I said above, there are different kinds of failure than just dice failures, and as long as your players know they can lose you are generally in good shape.
For example, in an L5R game I'm in the PCs failed to save a friend NPC. We had delivered her to an island and had decided to hang around in case she needed evac. The problem was we figured the island might vanish at dawn (as it had appeared at dusk) and didn't want to sink our boat so we pulled out a bit and left a longboat close to short. Sure enough, come dawn the NPC is running for the shore. She gets to the water, throws the object she took for the boat, and vanished with the island. The PCs recovered the item (it landed in the long boat) and while all in all the story was a success, as characters it was taken as a failure. Why? Because we saw it as us failing to get our friend out.
In my own L5R game I had the PCs in a forward military camp. I made names, backgrounds, and stories for the twenty or so samurai NPCs in the camp with the PCs. They interacted, they became friends. It was awesome RP. And then the NPCs started dying. Some died at pre-planned places (I had plotted some if X then Y dies at Z) and other died in combat when the dice came out against them. The important thing though was that the PCs felt the loss and learned that there was no protections for the NPCs just because they had plotlines going the PCs were getting invested in. When it came time for a bigger battle, the PCs also knew what was at stake for them as well as their friends and comrades.
I'm not telling you to force failure on your players. However, if the possibility to fail in a meaningful way isn't there then what is the point of calling for a die roll? or running it as a game? You can still tell the story. Just put down the dice and work it out with your friends and enjoy the communal story telling. But even the best stories require failure, because without failure there is no tension.