First, a prerequisite for a good nemesis or rival is that your character(s) get to encounter this individual or group repeatedly. A game where the expectation is that being opposed to someone usually means swords or guns get drawn and somebody ends up dead, just as a regular course of action, tends to work against this. Basically, the so-called "murder hobo" style of game makes rivalry and a nemesis more difficult to maintain. My personal favorite rivals have been while playing Street Fighter: The Storytelling game, and in DC Heroes. In Street Fighter, the rules actually never describe how a character could die! After getting beat up and knocked out, you're back to good in 15 minutes. A character can get more seriously wounded by weapons. In any event, this means you often can have encounters with competitors, lose (but not die), and develop a grudge. This grudge and the back and forth of it all, how it personally gets you wound up, is the great joy of a rival or nemesis. Of course DC Heroes, being based on the DC universe, works in a genre where characters routinely fall into conflict without killing each other off. I remember a character of mine having a short term nemesis in a DC game, this nemesis knocked my character out and delivered me to a warehouse where some evil scientist took a sample of my blood. I got this nemesis back while investigating another matter (though I never did learn exactly what my blood was used for...), and we eventually developed a kind of understanding between each other and had a brief moment of camaraderie. Anyways, now I'm talking about games I've been in...
Aside from the requirement that a nemesis be able to encounter characters repeatedly, they need to get their hooks into the characters (and hopefully a bit into the players) emotionally. As a player, I've found that my feelings against a rival often feel quite... petty almost. In fact, it can be quite a role playing challenge handling a rivalry, being tempted to do something that would reveal your character to be more bloodthirsty or petty than you'd perhaps like, or rolling with and accepting that maybe your character's nemesis can get under their skin and goad them into responses they aren't proud of. I suppose that is how a nemesis is a core tool in creating memorable moments and story-like revelations of character, and meaningful choice. How your character reacts to a nemesis reveals something about that character. Some players take more care in that than others. Also, there is an out-of-character element to dealing with rivalries, in that it can take some player tending to keep them healthy, cool, and fun for everyone involved. Like, if a player is enjoying a rivalry that is not quite deadly, and other players decide "We will resolve this with murder", it creates tension and maybe unwanted compromise if a player feels pressured to play their character differently to conform with other players playing characters with different moral outlooks, etc. It can be messy stuff.
A nice effect of an engaging nemesis is that it motivates players. If the characters are involved in a scenario or situation then a nemesis shows up, it can amp up the situation. Is the nemesis behind something bad that happened, or are they merely a rival seeking the same thing as the PCs before they can get it, or something else entirely, perhaps a red herring. Maybe even this is a case where the characters and nemesis can work together due to a more dangerous third party!
So, not a ton of practical tips here, but I'd suggest a rival or nemesis is totally worth developing. Perhaps the GM introduces one, or discovers one naturally flows out of a scenario and has them come back. Also, there is a possibility that players in many games can create their own rival and some RPGs even have rules for such. A character may not want that rival or nemesis, but as a player... they're gold!
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