Deus Ex openly supports the gun's blazing technique - and it works, and you always know you can take out a LOT of people before you yourself become the victim. It's too forgiving. But yet the thief games are almost too unforgiving - you need the balance. Being in a constant extreme state of mind, whether it's positive or negative doesn't generate the varying levels of fear or anticipation as being in a neutral state that is altered based on what you encounter in a specific situation whether it's a isolated event in a map, or a series of events leading up to a general emotion or state of mind. But when, that control is lost and the gameplay can't support the chaos - ala Thief, you get frustration.
Frustration kills concentration, and willingness to really immerse properly.
So what creates good Fear. I won't go into fear of death much. Players, have died and died and died over the years through the games - they have tougher skin now, most players understand they will probably die a few times in any given game at least. But after, a few deaths - the mystery of death is gone, and it's just a minor setback. So - when a game uses that as the only means of evoking fear in a player, it quickly becomes less scary to not scary at all.