Tip #1: Give your heroes and heroines some common sense. Don't let them storm into dark basements for curiosity's sake. It's akin to the sorority girl in the horror movie investigating the weird noise without a weapon, escape route, or clue. A great character can make bad choices, but there should be a good reason for it. We want to empathize with that character and understand his/her reason for storming into the basement armed only with the television remote control in hand.
Tip #2: Allow the main character to sense real danger as well as imagined danger. An author can humanize a character by giving him a phobia. I can't help but think of Indiana Jones and the pit of snakes. If your character has a fear of heights, imagine how suspenseful it could be to incorporate a scene on top of a tall building. The danger is real but exaggerated in the character's mind.
Tip #3: Fear of a past event repeating itself can be a great to ramp up the tension. Maybe the hero/heroine failed at something important and you can use that fear to fuel a future challenge.
Tip #4: Make your character an expert at something. This doesn't mean the main character must have Einstein's IQ. Your character can be smart in a specialized area and that knowledge can help to overcome the bad guys.
Basically, we all want to read about characters we can understand and respect. Characters that we'd like to hang out with on a Saturday night. Maybe even characters who are just a little bit smarter than we are.