The Invisible Dungeon and Wallet, Keys, Pants are, like the hexcrawl, dungeoncrawl, heist or Hunter/Hunted, basic formats for open-ended adventures that avoid railroading.
...mostly. The trick is they makes use of one key choker: the party is already in the dungeon. Though it's actually a metaphorical dungeon--they're not in a physically restricted underground maze, but they are unwillingly inside the villains' scheme when the adventure begins.
These are written for the Demon City project (donate to the Patreon here), but can apply to pretty much any game...
In the Invisible Dungeon, the trick is the players don't know it.
At the beginning of Alien, the Company has just woken up the crew to go investigate a distress call which it knows is dangerous ("crew expendable" according to the secret orders) and, as I noted in an earlier entry, when Get Out opens the photographer is already on his way to the girlfriends' country house which will lead to the party which will lead to him being auctioned off. From the main characters' POVs these are, at the beginning, more or less ordinary situations.
In practice, starting the players in a situation where they don't even know they're in trouble is different by just a hair, in terms of preserving meaningful choice, from being told "Hey we're running this module so you want the gold from Blastoskull Manor", but once the set-up is done, the Host should respect player choices and the scenario should be designed so that any player choice thereafter fuels the adventure.
Dungeons offer choices, but the also have walls: likewise, the Invisible Dungeon should be designed ahead of time with some barriers to escape the villains' dastardly scheme. If the crew of the Nostromo decided to leave the Alien planet without going into the egg chamber what would happen? Well the Host would've had Ash (the Company's secret android) secretly try to kill whoever made that decision and/or somehow get the crew back to the planet to investigate--possibly by sabotaging the ship. If, near the beginning of Get Out, Daniel Kaluuya had decided to, well...get out, the family would've tried a combination of physical force and hypnosis to prevent it (which they do, later in the film).
Now, in a genuine railroad these prevention schemes would automatically work--I recommend you not run things like that. Let the situation play out however it plays out--and if the party escapes the Invisible Dungeon you made early, you switch to a story of pursuit. Even dead bad guys have friends. It's easy to imagine a continuation of the truncated Alien story above where the Company tries to hunt down the crew who've seen its robot go berserk and it's easy to imagine a sequel to Get Out where the police are asking around about this photographer kid who was apparently around at the old country house when that family got killed.
However, the point of prepping an adventure is to prevent having to do all that improvising of new scenarios all at once, and to have players encounter things as well-thought-out and complex as your downtime allows. To get that to happen, it's as important to promise "treasure" inside the "dungeon" as it is to build walls around it. In mass media, this is less necessary than it is in a game--unlike players, movie characters don't know they're in a movie and will walk right into the heart of darkness if the screenplay demands it. Hosts have to be cleverer than screenwriters.
A simple way to do this is to turn an avenue of investigation into a trap. For example: a witness (secretly a villain or villain's pawn) tells the players they saw the gunman flee into a warehouse. The warehouse is a fiendish Saw-like. The (evil) clerk tells the players the records they need are kept at the country courthouse, upon entering, the guards lock the doors and the cell tower is sabotaged.
Another way is to build a breadcrumb trail out of things the players will want to follow even if it has nothing to do with the investigation. The lifeguard with the big blue eyes invites you down to the (wereshark-infested) island for a weekend. You have to know your players and their playstyles pretty well in order for this to work, though.
What not to do is simply decide, after the fact, that whatever the players felt like doing it will turn out to be the trap--this creates a situation where you've artificially removed players' choices, and in the long run this makes them think about their decisions less, and makes a game of decisions and investigations less fun. If the witness is a pawn of the villain, there's always a chance a clever player could find that out, if a clerk is evil the players theoretically might find a way to discover that before heading to the courthouse. If you respect the rules of the imaginary world, the players will learn to investigate it with care.
If you want the Invisible Dungeon to last longer than a single session then it helps to have the villains have some plan for the party besides just killing them. A horror bent on seducing the party members, quietly grooming them for membership in a cult, driving them insane or (as in Get Out) showing them to prospective buyers can maintain a ruse of harmlessness and mystery far longer. The players will know something is wrong (they're playing Demon City, after all) but they won't know who the danger is and who's a harmless NPC.
And there should be, occasionally, harmless NPCs--not just to throw off the players, but also because friendly non-player characters are part of the advancement system.
Wallet, Keys, Pants
In this kind of format, you wake up missing your wallet, your keys and your pants. Or something equally valuable. You may also wake up far from home. Unlike the Invisible Dungeon, the players immediately know something's wrong. The Invisible Dungeon works by luring the PCs in with something they want, Wallet, Keys, Pants works by taking away something the PCs want back.
The advantage of this format is it's easy to add obstacles (the characters were asleep, you can surround them with challenges and terrors) and easy motivate players to face them (they need to find their stuff or escape or both).
The disadvantage is--unless you do it as the opening of the entire campaign--you need to get the characters knocked unconscious. It's no fair just deciding in the middle of a campaign that last time they slept this happened, you have to have the bad guys creep in--roll to see if the PC notices--inject the benzodiazapines--roll to see if they wake up with the pain--and sneak them away to the getaway vehicle.
The wallet, keys, pants option is also a good adventure format if you finish a combat with all the heroes knocked unconscious.
Aside from the beginning, the Host also has to answer a few questions: why did the horror leave the PCs alive? Did something go wrong mid-kidnapping? Does the horror have only an animal intelligence, and so left the party alone at the wrong moment? Do they want something more complex from them than just their flesh? After that, the WKP adventure consists of the same kinds of clues, hazards and a fights as any other adventure--just put these things between the party and whatever it is they want
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