Yes, this is absolutely a playing style thing. That said, Hero Quest is very bad at supporting that sort of gameplay - where the player feels that his character's successes and failures are his own - because of the fact that there's really very little that the player can do to increase his chances of success. It's not at all a tactical system. As such, any player who seeks to find personal fulfilment wielding a character as a tool in the game to practice his tactical prowess is, IMO, going to be sorely dissapointed. He's completely at the whim of the dice.
I think if this is what the player really wants that they'd be much better off playing another game. Or, rather, I'd point out how much fun the system is if they just decide to look at the system slightly differently and play to what it's really good for.
Mike
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