In my d20 Modern game, I made it obvious when the PCs were in extreme danger by overwhelming them with the description. They were infiltrating the mansion of hte head of the Fraternal Order of Vigilance, and had just killed him what the ESF swooped in to clean up both the FOV and the PCs. I described, with great detail, the black helicopter flying in and blowing away most of the guards still standing, and then described several assault teams sweeping in on the mansion grounds.
The players took the hint, climbed out the window, and made a break for it, rather than try to fight.