Warn, Wound, Kill
Every DM knows (or should know) the golden rule of being a DM: Always try to say yes to your players.
It’s like improv. If a player wants to have his character leap off a balcony, swing from a chandelier and somersault onto the back of an attacking troll, tell them great and have them roll a dexterity check (probably a high one). If the bard wants to grab the lich’s billowing cloak and throw it over the villain’s head so it can’t see, by all means let him try. At the end of the day, you find a way to let your players do what they want to try.
However, sometimes your story calls for something to happen and it’s a Very Bad Idea(tm) for the characters to interfere. The classic example is an early glimpse of the Big Evil of the whole campaign, whose abilities far outstrip that of the party at its currently low level.
The players are ultimately meant to fight and defeat this dude or dudette, but not now. You’re showing her off to build suspense, fear and/or hatred. However, your paladin (it’s always the Paladin) knows she’s evil, and by his God’s mandate must throw down against her now.
Here’s my unofficial guideline for such situations, while keeping true to the idea of saying yes: Warn them, wound them, kill them.
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Warn them. Through description and roleplay, let the players know this chick means business. Have her casually kill a beastie that has given the whole party problems in the past. Have the palpable magic of her aura make them feel queasy, or her presence force a Wisdom saving throw to avoid shying away from her. Have her kill a powerful NPC (though pick one that won’t anger the characters into rash actions). In other words, give them every indication they Do. Not. Want. To mess with her.
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Wound them. The paladin, of course, may still want to rid the world of the now super evil baddie. It’s time to wound the characters. Have her beat them significantly, then retreat. She can do only nonlethal damage and knock them out. Maybe kill one who then needs to be resurrected. Let her unleash her powers in a way that will hurt, but not end, their existence. The characters are an annoyance at this point, and she doesn’t want to waste time dealing with them.
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Kill them. Sometimes, players just don’t learn. If you’ve shown them how powerful your Big Evil is, if you’ve let her slap them around and shown their impotence, and they are STILL fixated on taking her out, then say yes to them. Let them attack all-out, and have her defend herself without holding back. She’s now sick of the characters bugging her and is going to get rid of them. Total Party Kills are never fun, but the players can only press their luck so much. The characters can all wake up resurrected and in debt to a church, a gang lord or whatever if you want, adding another angle to an adventure whose baddie is now more hated and notorious than before.
Dice can be fickle and players are super resourceful, so don’t discount the possibility they may pull it off. In that case, she was just the lieutenant of the REAL baddie, who then appears to repeat the warn, wound, kill cycle again. But even in a campaign where you make sure you tell your players yes as much as possible, you can still deal with them doing Very Dumb Things and preserve your plot, and make the adventure better for everyone.