Curiosity and mystery
Raising questions in the mind of the audience provokes their involvement - not only in terms of providing a trail for them to follow but also in leaving an incomplete task for them to consider; even if the story provides the audience with superior awareness to the protagonist. Mysteries offer an incomplete picture and clues to it's resolution, though misdirection and obscurity serve to muddy the water. Ravyn at Exchange of Realities offers a fuller analysis of the mystery plot.
Anticipation and hope
Anticipation is a key emotional state and probably deserves it's own post. Balancing fulfillment of a pleasant or rewarding event (e.g. with frustration of that event can build effective tension. Overall, this must deliver fulfillment. Building anticipation can be done by outlining plans in the plot, introducing problems and solutions and moving forward towards fulfillment or resolution. Drip-feeding anticipation in bite-size chunks is perfectly fine as fifteen minutes tension has greater impact than fourteen minutes boredom and one minute of shocks.
Suspense and worry
This is the dark side of anticipation; the end result is danger or loss to the character. Where there is suspense, there is risk - the chance of something significant happening. Empathy with the character involved is vital otherwise the audience will just see stuff happen to someone they don't care about. Outcomes can be made uncertain by providing opposition to the character and their actions. Other methods of inducing uncertainty include creating disadvantage whether it's by an unfamiliar environment, attrition, a loss of refuge or escalation of threat.
Surprise and excitement
In dealing with the unexpected, the setup must always carry less weight than the payoff; if you are going to play a surprise then it must have an impact (or why bother?) on the character or the plot. Whether by reversal of situation or fortune, coincidence or shock the intent is to change the scene in an unexpected yet anticipated way. Beware the deus ex machina, where solutions come from an unheralded external agency (usually divine). Ideally the surprise is within the scope and means of the character or plot. Methods of foreshadowing a surprise includes the hoary tradition of Chekhov's gun (sometimes he hands over an entire armoury) which leads to audience panic as they try to anticipate that somehow, everything is significant in an incomplete pattern.
Evidently, there is a danger of using too much spice. Yet tension can make a good story great and even a weak one breath-taking.