It's interesting to give your players difficult choices. Let them have something they really want, but only at the cost of sacrificing something else they want. Or vice versa. The important thing is to make it completely impossible for them to have everything. Then sit back and watch the fun.

Better yet, set things up so that one character can get exactly what they want, but only at the expense of something that another character really wants. Your party can have the +5 Sword of Macho Awesome, or the Über-Staff of Wizardly Wizardry, or the Thieving Gadgets of Undetectable Ultimate Sneakiness, but not all three. When one item is selected, the others are irrevocably destroyed.

Hee hee. We can see some of you GMs out there rubbing your hands with glee right now.

Transcript

Pete: R2-D2 accesses the factory controls.
R2-D2: I only have time to rescue one person. Who will it be? Padmé or Anakin?
Anakin: Padmé!
Padmé: Anakin!
R2-D2: Oh, puke. You're kidding me.
Anakin: I have Force abilities. I can get out of this. Save Padmé.
Padmé: I... no, save Anakin!
Anakin: That's very sweet, but Pete, you have to save Padmé. You know it. Will you be able to live with yourself if you let her die?
{beat}
Pete: R2-D2 terminates the steel pouring sequence and releases the crucible from the conveyor.
Pete: It tips over and spills you out.
[SFX]: < bloop ding bleep doop pating doop oop >
Pete: According to my algorithm, at this point, R2-D2 says, "I rule."