A game I've been interested in for a long time dropped yesterday. The game is called A Plague Tale: Innocence Lost. I'm only a little way through, but you play a teenaged girl named Amicia who is traveling with her brother in France during the Bubonic Plague. One of the things I like about the game is the sense of scale and scope the game delivers on very powerfully.
See, while the game has action and adventuring, Lady Amicia is still just a teenaged girl. You're not Lara Croft. You're not a grand sword fighter. You are skilled with a sling, but that is a poor weapon against opponents in heavy armor. And the game does a good job on delivering this.
An early boss fight has you against a man in heavy armor. You have to knock the armor off while he tries to kill you. The fight is tense. If he hits you, you lose. Amicia dies. And a sling is not a fast weapon while someone is coming at you with a war club.
How does this apply to games? Well part of it is just pointing out that you don't necessarily need to have huge encounters to have tense encounters. Another is to show that you don't need to have the world threatened to have meaningful plot.
Sometimes a plot that is smaller in scale and scope - but more personal - can be all the stronger for it. And if you pull that scope in, and deliver on it, you can end up with encounters that are very tense despite being a non-issue in something with a larger scope in mind.
Games have inherent scale and scope in mind. A D&D character - even as a brand new character - is on a different power level than in they were in Shadow of Esteren or in Legend of Five Rings. That scope also changes as you level up. There's a reason most D&D games end at level 10, and that is partly because beyond level 10 the scope of the game is absolutely massive with what the PCs can do. That's not as true in other games.
So consider your games scope and scale. Make encounters to it. You don't need to end the world to have stakes your characters care about. Sometimes it just needs to be helping a friend.