To evoke a sense of danger, three things are needed:
- a knowledge of danger existing
- an uncertainty that it is an escapable danger
- a certainty that a strongly undesired outcome is possible
So, you need to forshadow the existence of the danger, make it uncertain that they can overcome it successfully, and remind them by the situation that it's possible that they will not be happy with all available outcomes.
In practice, in D&D, things like asking what their current HP are, and then making a quick calculation, and going "Ooh... crunchy!" can up the sense of danger.
Getting the outcome range to include strongly undesired is tricky, tho'. The player needs to have a strong sense of buy-in on their character to actually be overly worried about the loss of the character. I've found that the longer the character generation, the more buy-in is present at start.
For example, a Rolemaster character at level 1 is about equally weak as a Cyclopedia D&D character, and the RM character takes about 30-90 minutes (depending on the player) to roll up, while the Cyclopedia character takes 5-15 minutes. The RM character hurts way more as a fatality in level 1 than the D&D character, and is just as much cannon-fodder.
So, with ways to make it matter more are more choices made in Character Generation (CGen), more significant choices during CGen, more involved CGen, more in-character play, and more personal impact on the character in play. All of these make loss of the character more profound, and thus more undesirable.
Once achieved, reveal the danger as per the other question, and make certain that players realize character loss isn't off the table... and genuine concern, even a true sense of danger, naturally occurs.
Your 'world' will dictate for the most part how magic is viewed.
NPCs - how other characters react to mages,spells, magic items etc. are a good way to add a sense of how magic is regarded in your game world. A glowing item or demonstration of magic frightens or amazes passersby.. when word reaches a towns ruler of adventurers with a unusual item or abilities she requests an audience to see for herself.
Abundance vs Scarcity - The less there is the more novel magic becomes. If every goblin enountered is wandering around with enchanted daggers and there's a magical supplies merchant in every town its very difficult to maintain a sense of wonder. On the other hand if magic items can only be found after herculean efforts (slaying the dragon etc..) or in exotic locations (in a secret chamber beneath the ancient ruins of a legendary castle ).
Mysterious behavior - Sure that longsword gives you a +1 when fighting orcs. It also cries out the name 'Larissa' under a full moon, Or simply dissapears from time to time...
Your mages 'Magic Missile' spell, instead of appearing as glowing arrows every now and then manifests itself differently (a flaming spear, or icy daggers) perhaps modifying its game affect slightly (and unexpectedly!)
Description - be vague in the descriptions/naming of spells/items, the Call of Cthulhu spell list is deliberately obtuse in places (and encourages the Keeper to do the same), an Identify spell for a wand of fireball gives the mage a vision of enemies perishing in flames or suchlike.
Best Answer
What is notable about Glorantha in terms of fictional worlds? Its coherence. It has a extensive and richly detailed mythology and history designed to be as "realistic" (the sense of verisimilitude, as we have to point out in any RPG discussion even though it is always blatantly obvious).
It's interesting, if you research the term "sense of wonder" it is primarily affiliated with science fiction. In fact, many articles on it say that wonder is more possible in science fiction than in fantasy.
And why is this? Because a fundamental grounding in reality is required for the cognition that makes a sense of wonder possible. Fantasy and magic, when used so that "we can just make up whatever crap we want," fail to accurately evoke a sense of wonder.
@LordVreeg is on the right track in terms of details and immersion, but the core value behind those is the fundamental sense that the setting is somewhere 'real,' which has its own consistency and rationality. Then, a specific element that is larger than life or incredible holds resonance for the reader. In "Rhetorics of Fantasy" the primary genres of fantasy that create a sense of wonder are described as portal and intrusion fantasy (which use our world as a backdrop for that contrast) and immersion fantasy (characterized by its rich, fully realized setting).
Therefore how you build a sense of wonder in your RPG is to have an internally consistent setting. Not one where things are a way because 'the game rules say so,' or 'I made up something wacky one day' - but something that seems like a real, living, breathing world, so that then the immanence of revelation can generate an emotional response in the game's participants.