First level party... took a job escorting a caravan through a dangerous mountain pass during the winter...
It was a pretty large caravan, thus the players were only a small group of the many caravan guards that had been hired. It was a pretty open-ended campaign. There were a few options on where it could go, but if things went right, they would enter a nearby dungeon with a little "coaxing".
Enter the Dragon. No, I'm not talking about a Bruce Lee movie

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An adult red dragon (you heard me right) is suddenly spotted descending upon the caravan from a great height. Instant pandemonium and a few disbelieving stares from the players, muttering, "Steve wouldn't really throw a dragon at 1st level characters. Must be some kind of trick or an illusion."
We roll initiative, and people start taking cover. The dragon would go last in the Iniatiatve order intentionally to give people a chance to react and because he was a good distance away when he was spotted.
When it was each players turn I would ask them to make Spot checks. 10-15, I pointed out to the player a good place to run and hide or take cover. 16-20, I pointed out even better places. 20 or higher, I pointed to a small cave opening that would serve as the best shelter of all.
The first couple of rounds the dragon makes strafing runs, lighting up wagons, sizzling horses and drivers, etc. Basically, building the terror factor. And let me tell you, there wasn't much need of roleplaying. The players were genuinely scared. After one of the players stood there telling me he disbelieves it and wants a Will save, makes the roll, then feels the waves of heat roll over him as the wagon in front of him goes up like a matchstick, the real fear settled in. "Steve really is throwing a dragon at us at 1st level!"
About the 3rd round, the dragon lands and starts grabbing people from the caravan and bitting limbs and heads off. All of the players had at that point spotted the cave or were told about it by the ones that saw it. The next series of rounds consisted of characters attempting to get to the cave without the dragon noticing them. When the last of them failed a check to climb the scree up to the cave entrance, sending rocks down the side of the slope, the dragon noticed them trying to escape into the cave. It chases... they get in the cave... the dragon can't reach them... the players are worried (with good reason) that it's going to breathe fire into the cave so they start scrambling back. As with all good stories, there were some NPCs that didn't want to give up what they thought was a good hiding spot, and others that wisely listened to the PCs advising to get futher back into the cave.
The dragon breathed, several NPCs died, and the cave mouth collapsed.
The PCs were trapped, and thus begane ONE of the adventures I had planned - the discovery of a hidden entrance hidden by an illusion at the back of the cave, and a dungeon crawl through an abandoned temple of Nerull with a few left over monstrosities
appropriately challenging for their level and then negotiating their way through a kobold warren to the welcome light of day. It was a very cool and exciting beginning to a really great campaign.
(And before anyone says the "R" word, it was and it wasn't. The way things played out, the players never saw any rails at any point, but when the PCs started exploring the dungeon and seeing how elaborate and big it was, one of them asked me, "Did you plan for us to get trapped in this dungeon? You did, didn't you?!" And that is a successful adventure that if not pulled off right would end up looking like Reading Railroad.)