Politics, villains and other threats
What they don’t know can definitely hurt them.

A myriad dangers face the adventuring party. Monsters. Magic. Poor sanitation (after all, the primary purpose of a fine sewer system is almost always, and often inexplicably, to be populated with a murderous menagerie). Another danger worth noting is ignorance. Not only can this put the characters in jeopardy, but also the plot.

The PCs do not need to know much initially, but steadily the background lore of the world, and eventually a plot, should be revealed to them. Gossip from locals, rumors from travelers, and news from heralds can all gradually thread together to create a rich backdrop. Some players may revel in seeking out interaction with NPCs to glean new lore. Others may need more direct intervention, or at least a little hand-holding, to help them toward the plot hooks that you’ve been polishing.

If racial or class tensions are a theme within your world, allow the characters a chance to learn of the dangers if they are extreme, perhaps with warnings from sympathetic NPCs about hostile areas if the party lacks any reliable local, geographical or historical knowledge. The same applies with unexpected local laws and customs. If tensions will only lead to a tavern brawl or two, then fine. But if a PC is likely to be imprisoned or executed simply because of their race or class choice, then you should expect the player to be more than a little frustrated. (Even if they happen to be a mute, half kitsune, half merperson bard and they just sidled somehow into a city where non-humans and mimes are banned, they might damn well deserve it but you still need to be seen as being reasonably beneficent.)

When introducing political, cultural or religious factions, allow player characters different opportunities, goals and motivations but don’t set them against each other without a chance at compromise. Even if they are persuaded to work for diametrically opposing groups, stir the pot a little before allowing it to boil over, and allow a chance at some revelatory new information before any intra-party conflict proves fatal.

Eventually, a trail of clues may tend to lead the merry, hopefully-not-too-discordant band of adventurers to a grand mastermind. Foreshadow this antagonist whenever appropriate. If you hope for them to become a recurring nemesis, build their threat as much as possible through role-playing, but be prepared for all eventualities before any actual confrontation. When feasible, have them be battle-ready. Fling sacrificial guardian minions at the party to allow use of escape plans. In a combat encounter, all it takes is one poor initiative roll and one failed saving throw for your grand villain to be instantly and ignominiously transformed into a colander.