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Narrative heavy games aren't really my cup of tea, I prefer books and movies for that, so take my advice with a grain of salt. But the main thing that gets me invested in a story is getting the main characters established as early as possible, ie getting a good sense of their personality and motivations as well as how those two might create conflict between them. Of course, this needs to follow the rule of show, don't tell, because exposition dumps are too dry to spark interest. So it's a bit tricky to balance between speed and manner of character introductions.

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(I played your game by the way, it was really cool!)

"But the main thing that gets me invested in a story is getting the main characters established as early as possible, ie getting a good sense of their personality and motivations as well as how those two might create conflict between them. Of course, this needs to follow the rule of show, don't tell, because exposition dumps are too dry to spark interest."

I totally agree!

Good character is often portrayed through action/reaction, as I have seen (as you said with the "show don't tell"). Instead of someone straight up telling you what it is, the player/viewer/reader will see it for themselves when they experience the natural and habitual mannerisms of said character.

Example off the top of my head: Say that the main characters are three kids, and in the opening scene they are interacting with a butterfly.

- Kid #1 is running around and gleefully playing with the butterfly. But when they get too close to the beautiful creature, they "trip" and fall flat on their face. They get back up as if they never fell. They look at Kid #3, and start to cry.

- Kid #2 is walking slowly behind, keeping their distance from the insect. They immediately ask if Kid #1 is okay when they fall, and they comfort the poor kid when they start crying. Kid #2 grows angry with Kid #3. 

- Kid #3 is hurling rocks at the bug and is trying to clap it out of the air. They laugh when Kid #1, who was in their way, "trips". With a big grin on their face, they immediately kill the pest while the wimp is on the ground.

Now, I could have just said this:

- Kid #1 is a happy and cheerful child. They are used to being pushed around by other kids so they are oblivious to most physical bullying. They get upset when when things are remorselessly killed.

- Kid #2 is sensitive and caring toward other kids. They know right from wrong and dislike senseless bullying.

- Kid #3 is selfish, violent, and a little sadistic. They are not above hurting others for personal gain and/or amusement.

I try to observe this in stories, to learn how to utilize the plot to highlight character in my own work. How things can work as plot devices (butterfly), how different characters interact with these devices in the plot, and what these interactions say about the characters' traits. 

Also, how words can convey certain feelings to further highlight character ("butterfly" went from "beautiful creature" to "insect" to "bug" to "pest", for instance. Also, Kid #1 is called a "poor kid" when associated with Kid #2, then a "wimp" when with Kid #3). 

Well! This was fun.