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Some authors (a la Dan Brown in The Da Vinci Code) use an expected twist and unanswered question at the end of every chapter.

Some (a la Stephen King) build deep characters that simply draw you in.

What ways (besides just telling a genuinely good story) are there to keep a reader engaged throughout the story?

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This question is extremely broad! –  Neil Fein Nov 25 '10 at 2:17
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Have you heard of Donald Maass's book "Writing the Breakout Novel?" He discusses the notion of what he calls microtension, or "tension on every page." It sounded reasonable to me. –  Philip White Nov 29 '10 at 22:25
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Unexpected twists can work in plot driven novels where the readers are expecting to move quickly - but without a lot of mental effort or interest in the characters - through a story. Your example author Dan Brown writes pretty much the same characters in every novel. He also spins absolutely fascinating mysteries that people must know the end of.

Plot twists can also feel cheap to the reader. For example, O. Henry's short stories seem a little less than serious because as a reader you go along through the story until you get to a plot twist at the very end that you didn't see coming at all. Instead of being able to see yourself as clever for anticipating this twist you feel like the author held important pieces of information from you. If you do a plot twist, you have to give the readers clues along the way to the twist that it is coming, dropping hints of what it will be. This keeps your reader engaged. Edith Wharton does this in an absolutely stunning way in her short story "Roman Fever." There is a twist at the end, but if you are paying attention she hints at what it might be all throughout the story.

Most of my writing professors during college preferred that we turn in character-driven fiction. In character-driven fiction, the thing that draws the reader in is the protagonist's wants, needs, fears, dreams, hopes, and loves. What do your characters want? What keeps them from getting it? What do they fear? What is making their fears realized? Write a compelling character. Make your readers care about him or her. Take one of his or her deepest desires and thwart it. Bring it all to a conclusion where the character changes - his or her desires change, he or she breaks from the hope deferred, whatever you like. You'll have engaged readers.

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Don't tell the readers too much. Have them wanting to learn more. The Girl With The Dragon Tattoo is a great example of this. The story switches with each chapter from following the girl, Lisbeth, and the other main character. Lisbeth is an incredibly interesting character, and you want the pages following her to keep going. This gets you through reading the perspectives of the other characters, which helps build the plot. The trick is to not let them wait for too long, or they'll get bored or uninterested.

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I've noticed that short chapters keep me moving along, even if I'm only somewhat interested in the story. Sometimes it's enough to keep me there until something really hooks me. Probably not useful in all genres or writing styles, but a suggestion.

Un Lun Dun by China Meiville is one example. Possibly The Elegance of the Hedgehog by Muriel Barberry, too, but I didn't finish that one and it was a while ago so I don't remember clearly.

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