Easy to say. Much, much harder to pull off in writing. Why? Because realistically, there’s only so much that can be done to a character before they break. The more realistic the story, the more the reader identifies with the protagonist. The more the reader identifies with the protagonist, the more the events in the story don’t just happen to the characters– they happen to the reader, too.
I’ve toted my love of George Martin’s ‘Song of Ice and Fire’ series before. Why? Because a very well developed character, a beast of a fighter that had been developed painstakingly for three (long) books can win a fight, take an injury in the process, and die of tetanus. There are so many characters in his books that he can realistically kill a huge portion of his cast like that. It heightens your sense of danger for the favorite characters, it takes away the safety net, and the knowledge that some of these characters are not going to survive the next few hundred pages makes the material gripping. Good villains don’t pull punches.
The problem with imitating this style, however, is that stories that aren’t a series of 200k novels have a much smaller cast. You can hurt them, you can kill them, but know that whatever pain and torment they go through… it’s not just going to magically go away. These characters are going to have to last you till the end of the story. And a good villain, a good danger, is going to hurt what it comes across.
I’m about sixty percent of the way through my book. My heroine has already broken her arm twice, and during plotting for future chapters I’ve very nearly decided that I’m going to shatter her knee and kill a side-character that I’m rather fond of. There is no healing magic. She’ll never run again, or walk without her staff. Why? Because there’s a villain with the advantage who is clever enough to find her. Take away his advantage, let her win the struggle immediately, and he’s not much of a villain. On the other hand, give my antagonist what he seeks (answers for her possession of a dead friend’s mask) and he will kill her. Good villains don’t pull punches. There is no ‘before I kill you’ monologue. No last requests. No ‘by the power of sheer will’ victories. No drastic change in skill when it’s convenient for him to lose a fight.
Why do people love a good villain? Because that struggle between the characters, the wavering balance of power, the trade of victories and defeats is what makes the adventure. Without tension, conflict, that sense of danger and concern for losing something precious… there is no story.