I've been an athlete in a combat sport for a number of years now, and one big thing I've learned is that your threats aren't credible if you never follow through on them - if you never show your opponent you're capable of attacking them, they'll never take a fake attack seriously.
In the same way with your writing, if you never dare to do something terrible (most obvious example would be killing off a main/supporting character) any jeopardy you try to create won't be taken seriously.
I didn't make this connection until I was reading a fantasy novel (dm me if you want to know what it is, I just don't want to spoil it here) AND THEY KILLED THE MAIN CHARACTER IN THE FIRST BOOK. I was shocked and thought they'd try to resurrect him somehow, but they never did. After that, every danger felt so much more real because it didn't feel like any character could have plot armour.
