The most important thing is gameplay; there has to be some strategy or mechanic that differentiates it from the SRPG equivalent of a button-masher. If I don't occasionally spend a few minutes pondering my next move, it's not doing its job.
Story and characters are nearly as important. If I don't want to find out what happens next, or care if the hero reaches his objective, then I'll abandon the game once the inevitable frustrating stage comes up.
The game should, above all, move fast when you're not in control, especially if it's difficult. If I'm going to get thrashed repeatably, I'd rather get it over with quickly.