Imagine the following. You are playing an adventure, where it is crucial that you enter a mansion to get hold of a document containing secrets about a spy from an enemy empire. Your first obstacle is entering the mansion in itself. There are some windows locked from inside, a big wooden door on the front (locked) and a smaller servants entrance in the back, also locked.
So, the thief of the party walks up, and tries to pick the lock on the servants entrance. Problem is.. he FAILS. Same thing happens when he tries the lock on the front door.
This is where the bard of the party tries to be clever, and heads to the nearest bar, uses his social skills to find out if one of the servants of the mansion sometimes hangs there. The GM thinks this is a clever idea, and says that one of the maids of the household dates the son of the bar-owner, and sometimes comes here. The son has an extra key to be able to sneak into her room at night. The bard persuades the son to help them, and he lets them in via the back door.
So, that's that, right? The party got into the mansion alright, through cleverness and good thinking. Also extra credit to the GM who was creative enough to let this happen.
There is, to me, however a small issue with all this (at least if not handled well). If the characters couldn't enter the mansion in the first place, the adventure would come to a grinding halt. So, any solution that would let the characters in would work after a while. If this is so, why don't just let the players in the mansion in the first place? Why not just say that "the thief picks the locks" and be done with it, let the adventure continue? I mean, now all that happened was that the adventure took a quick detour, and then ended up right back on track again.
Overall, I've seen that happen a bit to often. There is an obstacle in the way, and if that is not solved, the adventure can't continue. Or, if that is not solved, another way must be found, but the end result is still the same.
However, what if you make each roll make the story take a slightly different way, each solution branches of in a different direction. The bartendes son above could be captured.. or bribed... or maybe try to save his love from the house later on.
The important thing for me is to create something new with the rolls. Don't let a roll result in the stop of the adventure. In that case, just skip it. However, if the roll can add something interesting to the adventure, do it. Maybe a failed roll just means that nothing interesting happens, but a success makes the adventure more interesting. Perhaps the lock-picker not only picks the lock, but also realises that this particular lock isn't made localy, but imported from the faraway, hostile country. A fight is NOT just about defeating some enemy and then continuing down the path, but it's also about getting to know someone better, or pushing someone else to hate you. (Then again, all combats can't be pivotal encounters where the future is at stake.. some battles are just random battles).
So, to sum up: Make things matter! Don't just demand a skill check for the sake of it, put it there to make the adventure more interesting.
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