This will focus on fiction, but it can easily be used and adjusted to suit any genre there is.
1- You should power and jump straight in!
Most writers spend tremendous amount of time trying to explain the world they have created that they bore the reader with details they don't need the instant they pick the book. Jump right in! Explain the world through the progression of the story... the rules, the fights, the conflicts. Introduce the world through the actions and have them integrated IN the story. The best example I can think of is to have an outsider, and have your character take them through the basics.
Person A is from another continent and doesn't know anything about the customs and rules of <City>. He gets in trouble and does something that is socially unacceptable, and gets saved by Person B (a citizen) who then goes on to explain to him the rules.
It's still challenging however to embed this in the story without sounding boring. So, what you can do is make it more exciting to the reader and have Person A joke and ridicule their methods and how they live. Your readers will be able to relate better to the character this way.
2- Write complex imperfect characters!
Write imperfect characters! Because perfection = boredom in fiction. You want to have your character someone who the reader can relate to, just think about it, how many perfect people have you met so far? None!
Also, give your character a tone, motives, objectives and even hidden agendas so that the reader gets confused as to what they are hiding. Don't introduce lots of characters and then kill them (*cough*...) just use any character that you have already. It's much better to keep the story to as little characters as you can.
Often heroes are so overpowered that the bad guys don't have that much of a chance anyways, however do something different... make your protagonist the underdog for a change or have them go through hell. Have an opponent play at his weaknesses and just when their about to lose, their best friend ends up betraying them! Readers love these occurrences because they want to see how the character reacts. Have your readers care for your character... and you have succeeded at creating a complex character.
3- Always end with a bang!
Often called cliff-hangers. Always end a chapter while the reader wants to read more. Just when there is a huge reveal... just when someone powerful enough comes sending the bad guy flying... stuff that would make the reader thirst for more. For me personally, I always try to end each POV with a "bang" making the reader anticipate everything on every little end.
Don't be afraid to end the chapter in the heart of the action as well as ending it with an upset. It's often a good idea to break the chapter into parts to control the pace, as sometimes when the pace is high enough the writer just powers through the story out of excitement but unfortunately it ends up being a disappointment, because the reader kept anticipating bigger and more exciting events to happen.
Build excitement, when the pace is getting too high.
Before even writing, you must have a plot written down, even if its just one sentence... for example the plot for Mario is that "a princess gets kidnapped, and Mario sets out to save her". Try to establish the purpose of the story early one in order to get lots of room for twists. For example, you could build the story so that Mario is desperate to go save the princess at all costs. Going through all challenges and enemies on his way, but as soon as he finds the princess... she confesses that she does not want to go back. She wasn't kidnapped... she left.
See? That makes the writer able to write compelling and disturbing twists if he knows what the reader is anticipating and expecting, it makes it easier to break those thoughts surprising them with more and keeping them on their toes.
5- Don't be afraid to KILL your characters!
Yes, you heard me right. Don't be afraid to kill your characters. I know it's difficult and that I am a horrible person to even suggest it, but believe me the cliche of having a person always survive a situation no matter how bad it seems just takes the realism out of it. It makes the reader predict how the story will end just because you wouldn't let the person die!
Sometimes, no matter how bad the situation is, the hero is in the wrong place at the wrong time however, the audience doesn't even feel a thing because they know the "hero" will always survive. Take Game Of Thrones here for a second... can you predict who lives or dies? Exactly. It should be real, if the character does something, goes somewhere or does anything completely stupid... chances are they are gonna die. And it's that realism that I believe every fiction has to include.
Why? Because first of all, the idea of death is real enough for every reader, and once they see that your book is no different, they will start to care for the characters more because at any moment, they might just die!
I have to be honest here, I have killed more characters than I can remember, and every time I do it, I feel horrible... which reminds me that I am actually a good guy because I felt the death of the character I had just killed off in the most horrible way possible... Well, it's the thought that counts!