I've run initiation quests and they have always been great. In my current campaign, I started by running the quests into adulthood (not into the particular cult, they just became lay members of the pantheon after this). Then I made the individual cult initiations, and then we started playing the "real" campaign. For these events the costly success rule is very useful - something I rarely use otherwise. The players couldn't fail at initiating, but having bad luck with the dice had consequences. For example, one player had a bad defeat that made him acquire the "Fear Uz" trait. Another one had a complete victory in the final conflict and returned with a magic spear. We all had a lot of fun so I consider it was a success.
Cheers,
-Sergi Díaz
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