For me:

1: Party level sync

2: Skill chains/ magic burst

3: An area that has the feel of Gusgen Mines (At the start of FFXI, Gusgen Mines was a terrifying place; the random background noises that would make you think you've drawn agro, sound of small children laughing or other creepy sounds. Also the half visible ghost that wander around or hang from the ceilings, not to mention the siren....) Gusgen Mines definitely gave that feeling you could die at any moment, at least way back when the majority of players would still drawn agro in there.