It maybe hard to actually try to put fear into a player, but you should act as if you were that character and value your life in a RP game. But if that wasn't enough for people to "value" their life and they still wanted to be heroes, perhaps the police force (for example), any officer who would disobey the commanding officer's orders, or take a risky action such as shooting a bank robber while they have hostages, would result in a "demotion" and set them back from trying to get ahead in life. People are always trying to move forward and be the best, but if something like this could put fear into the character, they maybe more careful and less likely to act as a big shot hero.