One of the most potent weapons in the GM's arsenal to make sure the players don't do something incredibly stupid and dangerous that could easily end up with them being killed, when there is a sensible alternative option available, is the phrase, "Are you sure?"

Any player with a modicum of sense, upon hearing this magical incantation, will think better of their rashly announced action and look for a safer means of accomplishing their immediate goal.

Which is all well and good if you have players with a modicum of sense. So this GM tactic nearly never works, alas.

Transcript

GM: You spot a droid hovering outside the window.
Obi-Wan: I Force jump through the window and grab it.
GM: Uh... are you sure?
Obi-Wan: I'm wearing a thick cloak. The glass won't hurt me.
GM: Er...
Obi-Wan: I roll a 16. {leaps through window}
[SFX]: Keraaasssshh!!!
Obi-Wan: {flying through a spray of shattering glass} Watch and learn, my young Padawan.
GM: Okay then. You grab on to the droid. It lurches under your weight and carries you away into the night.
Anakin: I jump after...
Anakin: No, wait. Senator Amidala has a hovercar, right?
GM: Yes, in fact she does. Well noticed. That would be an eminently sensible way to follow the droid.
{Anakin hops into car and flies off}
[SFX]: Verrooooomm!!!
Obi-Wan: {in mid-air, hanging off droid} Well sometimes you just have to take the direct approach.