One of the classic gaming scenarios is the prison break. You assemble the PCs in a secure cell somewhere, either by capturing them, or simply by starting the game there, and let them try to get out. Hilarity ensues.

These scenarios can be a lot of fun. For the sadistic GM. For the players... not so much. Unless you know your players really well and are sure they will take this challenge in stride, best to not make it too difficult and demoralising.

In other words, resist the temptation to lock them in a dingy cell with no magic or armour or equipment, and no hopes of retrieving them, no matter how many times they do utterly stupid things and end up getting captured. Throw them a bone. Or at least a wand of fireballs.

Transcript

R2-D2: Well if I can't escape, I'll check my tracker.
GM: Your dreadnought's homer is about nine metres away. Seven, six...
R2-D2: That can't be. That's inside the room!
Jawa: Okay you droids, move out!
R2-D2: You! You looted my homing device! Where's my dreadnought?!
Jawa: No talking there. Outside and line up!
R2-D2: Crud. Fine then, the prison break scenario. I've done this before. In the Dungeons of the Slave Lords.
R2-D2: Chin up, Threepio! We'll get back to old blighty!
[SFX]: < squee diki eeroo doosquee ting doop >
C-3PO: I have absolutely no idea what you're talking about.
C-3PO: I love it here. A beautiful desert cruise with wonderful friends.
C-3PO: And you.
GM: Since there's so much love in the air, let's preserve this moment until next week.
Captain Antilles: Cool. By then my new character will totally be ready to save all your backsides. Really, I don't know what you'd do without me.
R2-D2: Succeed?