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Original post by Iron Chef Carnage... or else you've got your semi-useful major character standing ankle-deep in the corpses of his squad, ineffectually firing a rifle at a spaceship while nuclear weapons impact his face with no effect.
LOL. No, really, I had to try hard not to spray my water all over the desk and keyboard. I'm still sniggering to myself.
Back on topic, I'm in favor of making them really hard to kill, but in a large scale strategy game, casualties of every sort are inevitable, and part of the game. It's easy to imagine a reasonably realistic system where once a character is superior to all their foes by a certain small degree, they are very difficult to kill. It doesn't take a very large skill difference for one person to be able to reliably and quickly defeat another person. Make your combat system reflect this, and most of the problems will go away.
If this doesn't work, it really depends on the kind of emotional investment the player has in the unit. I like the idea of an alert when your hero is running low on health, so that you have time to stage a heroic rescue. Perhaps the opposing army might aim to capture rather than kill the hero?
[Edit: removed random (and most probably accidental) Facebook URL from middle of text! -- Kylotan]
[Edit: What the crud??? I have no idea where that came from. Thanks.]
[Edited by - theOcelot on October 16, 2009 2:38:41 PM]