There are times, but they are rare for me now as I have already said them when necessary, which has resulted in my group of gamers playing at my table all being on the same page about what we want from our gaming experience.
I say no to players that want something for the wrong reason (i.e. they want to "win", or "be the best character at the table", or their enjoyment is predicated on reducing the enjoyment of someone else), and to players that are asking for things that don't fit the setting or campaign that is going on (i.e. "Can I invent a motorcycle?" when the most technologically advanced form of travel is a sailing ship), or to players that aren't making genuine requests (i.e. they are making a joke by asking for something, or they've only just met me and are testing if I'd give them something they personally think is ridiculous because they want to see that I will say "no" to it).
The biggest one, though, is that I've said "No." to players coming back for more sessions when they don't mesh with the rest of us at the table. That's the main thing that enables me to pretty much never have to say "No." anymore.
I try to always give my players a "yes, and" or a "yes, but". I've occasionally had to use a "no", but it's generally done to bring them back from asking me for things to actually playing the game--My current batch of players are real mad-scientist types, and I've had to add on a set of instructions for crafting items--The DMG version is well and good for "Creating things that already exist", but we needed something specific for inventing things. Any project takes them at least 2 rounds of downtime--I spend the first one figuring out how they can get the item and what its stats will be (We call this the "Planning" phase), and then the subsequent downtime is spent on "Execution", where they have to get a certain number of accumulated successes over time in order to actually construct the object.
One of the other things I'll often do is award players items which are largely cosmetic, or nerfed in usefulness. One of my players, for instance, wanted a steam engine. He can build it if he wants to, but it will take a long time, and his first effort won't be as powerful as he wants. Players are generally happy when they feel like they're on the road to what they want, or when they feel like you're willing to meet them halfway--I have a guy who wanted mithril claw tips for his weretiger, and it was better to tell him "Yes you can get them if you put in the work, but be aware that mithril on weapons is basically cosmetic", than to simply tell him "no". It's leaving possibilities open to him, and giving him an in-world reason why he might not want it, rather than telling him no by DM fiat.
I know I'm a little late to this conversation, but one solution might be to customize a Figurine of Wondrous Power. I personally just did this for one of my PC's who wanted a giant goose to be her mount, so I created the Figurine of Majestic Goose.
You should make the players have to work for what they want, instead of them just finding it in the next room. Otherwise, items start to lose their value.
As others have said, I wouldn't just give it to them. Quest to find it and skill checks to subdue it. Anywhere a flying bear lives is going to be very dangerous. It also needs restrictions. Don't know the stats for a bear, but only 1 claw attack and no bite attack while airborne. Flying sounds pretty exhausting for a bear, maybe it can only stay airborne for 1d4 minutes and can't fly again until its had a short rest. I imagine they'd fly pretty slow too, but if one drops on you that's a lot of bludgeoning damage... potentially to the bear as well.
As for unicorns, that's a little more straight forward I'd have thought. But lots of rules and lore around unicorn. Aren't they intelligent? In any case, the PC is going to have to be very special and well behaved just to win, let alone keep a unicorn. I imagine they have to do something epic and unicorny to win that level of trust from a unicorn. And then there's probably some curse involved if the unicorn is hurt or killed in their care.
Sometimes you have to remind everyone that you're not just there to provide them with a good time. It has to be fun for you, too. Sometimes that means that you simply can't do things because the amount of complication that they present makes it seem more like work than fun. A bear companion for a character, not so big of a deal as people have pointed out. A talking flying bear has to be played as an NPC though, and that's work. Most of the time a player will accept an explanation like this.. sometimes they won't, and you just have to make a decision... their happiness or yours.
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I try to always give my players a "yes, and" or a "yes, but". I've occasionally had to use a "no", but it's generally done to bring them back from asking me for things to actually playing the game--My current batch of players are real mad-scientist types, and I've had to add on a set of instructions for crafting items--The DMG version is well and good for "Creating things that already exist", but we needed something specific for inventing things. Any project takes them at least 2 rounds of downtime--I spend the first one figuring out how they can get the item and what its stats will be (We call this the "Planning" phase), and then the subsequent downtime is spent on "Execution", where they have to get a certain number of accumulated successes over time in order to actually construct the object.
One of the other things I'll often do is award players items which are largely cosmetic, or nerfed in usefulness. One of my players, for instance, wanted a steam engine. He can build it if he wants to, but it will take a long time, and his first effort won't be as powerful as he wants. Players are generally happy when they feel like they're on the road to what they want, or when they feel like you're willing to meet them halfway--I have a guy who wanted mithril claw tips for his weretiger, and it was better to tell him "Yes you can get them if you put in the work, but be aware that mithril on weapons is basically cosmetic", than to simply tell him "no". It's leaving possibilities open to him, and giving him an in-world reason why he might not want it, rather than telling him no by DM fiat.
"Any society that would give up a little liberty to gain a little security will deserve neither and lose both" -- allegedly Benjamin Franklin
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I know I'm a little late to this conversation, but one solution might be to customize a Figurine of Wondrous Power. I personally just did this for one of my PC's who wanted a giant goose to be her mount, so I created the Figurine of Majestic Goose.
You should make the players have to work for what they want, instead of them just finding it in the next room. Otherwise, items start to lose their value.
As others have said, I wouldn't just give it to them. Quest to find it and skill checks to subdue it. Anywhere a flying bear lives is going to be very dangerous. It also needs restrictions. Don't know the stats for a bear, but only 1 claw attack and no bite attack while airborne. Flying sounds pretty exhausting for a bear, maybe it can only stay airborne for 1d4 minutes and can't fly again until its had a short rest. I imagine they'd fly pretty slow too, but if one drops on you that's a lot of bludgeoning damage... potentially to the bear as well.
As for unicorns, that's a little more straight forward I'd have thought. But lots of rules and lore around unicorn. Aren't they intelligent? In any case, the PC is going to have to be very special and well behaved just to win, let alone keep a unicorn. I imagine they have to do something epic and unicorny to win that level of trust from a unicorn. And then there's probably some curse involved if the unicorn is hurt or killed in their care.
Sometimes you have to remind everyone that you're not just there to provide them with a good time. It has to be fun for you, too. Sometimes that means that you simply can't do things because the amount of complication that they present makes it seem more like work than fun. A bear companion for a character, not so big of a deal as people have pointed out. A talking flying bear has to be played as an NPC though, and that's work. Most of the time a player will accept an explanation like this.. sometimes they won't, and you just have to make a decision... their happiness or yours.