Innocent enough question, but quite tricky to answer. Some notes:
1. I like it when the situation and the player's choices give rise to a gripping story. The more time you spend "inside your head", imagining what's going on and acting out in reaction to that, the better the session. This momentum, this flow of action/reaction is what everybody is ultimately after, I think. Physical action, ie. combat, is an easy way of achieving this, but often the story is more memorable the less you rely on it.
2. The game should be "about" something. There should be something meaningful at stake. And it should force you to make real, value-laden choices. Too many sessions deliver only on the first part of the equation: Save something, someone, yourself from some threat. Fair enough, but where it gets interesting is when you have to make real tradeoffs - do this to the detriment of that, chose between two things you value. It's these choices that really "build character" and make your PC come alive.
3. While I agree that things should generally work if there's a good chance that they would work, the opposite is also true: Some of the best stories arise from things NOT working as everyone thought they would ... provided there's a good reason for this, if only with hindsight. A good session believably balances surprises with consistency. A predictable session is just as bad as one where things just happen willy-nilly.
Easier said than done, of course.
J.