In Lost Mines of Phandelver, my wizard (level1) who climbed up the chimney to check out the room above (not very stealthfully I might add) was surprised by the Bugbear baddie who would have smashed me with a 1 shot kill, but I let go of the walls and used shield to protect myself. Unfortunately, I tumbled down the shoot and took some damage, but I was still alive.
Later in the adventure, we went around the other way and our fighter faced the Bugbear. The Bugbear scored a crit and that fighter crumpled down into a gory mess - instant death. The player loved it. He ended up making a new character and was a great sport. It was awesome to feel vulnerable.
Right now, the campaign I'm DMing, I'm really scared for my PCs. They have gotten themselves in a pickle. In PoTA, they just encountered Windharrow and Queen Aerisi. They were getting along well diplomatically, but then one of the PCs tried to take the horn from the Queen's throne room. (Granted, I did give that PC a back story that told him the horn was a holy relic of his Air Genasi clan so he needed to get it back). When the PC didn't give the horn back, the Queen ordered her minions to get it back. Then she and Windharrow escaped. If the Queen used her lightning bolt or her chain lightning, there would have been massive death. The party managed to withstand the battle with the minions, which included an invisible stalker.
We ended the last session there. Now, they are about to walk into an ambush in the grand hall below. I will have Windharrow parlay with them, but if the PCs don't do what he says, there may be a blood bath. I like it.