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I think it is a combination of things.

-Characters. I am more likely to care about a well-developed character than an underdeveloped one. Show me who the character is, what they want, what is getting in their way, and why the tragic thing happens to them. Using Frankenstein as an example, the character I like best is the monster. All he wants is love and acceptance. His size, strength, and ugliness make him a freak among mankind and prevent him from getting the love and acceptance he desires. This sets the stage for the next part:

-Set-up. As I read, I am getting to know the characters, and even the tiniest step is important. I need to eventually be able to see the bigger picture. Using Frankenstein's monster again, we get the following: his creation, how Frankenstein abandoned him, his struggles to make sense of the world, the rejection he faces despite his best attempts, the several chances he gave humanity to accept him, the loneliness he felt at being the only one of his kind, the fact that Frankenstein could have given him happiness and snatched it away when he destroyed the female monster he was building, the rage that built up, the injustice he felt he faced, the eventual chase between him and his creator, and the forgiveness (my interpretation; this is arguable) and regret he showed on Frankenstein's deathbed before he left to take his own life.

Notice how one thing leads to another and another and another? It is a series of little things that lead to the climax. In fact, for anything you want to express, a good set-up is key.

-The tragedy itself. I, personally, think that tragedy started the second Frankenstein abandoned his creation, but the greatest tragedy is the death of both Frankenstein and his creation. While I have outlined the monster's perspective, it is important to note that Frankenstein himself felt he was doing the right thing. However, a lot of his motives and methods were based in selfishness. Where the monster's tragedy comes from rejection, Frankenstein's comes from his own flaws.

These flaws were more or less the icing on the tragic cake, and when the end comes, the payoff is knowing everything Frankenstein could have done: he could have stayed with his creation, he could have tried to accept him, he could have instead of guarding himself, had his bride-to-be guarded instead, he could have admitted what he had done a lot sooner. Etc., etc. Knowing that it is far too late to change anything gives his death impact, and in turn, knowing Frankenstein's choices, it gives the monster's death impact as well.

The actual tragedy feels fitting and leaves a strong impression. The audience does not feel cheated to see what all of these events lead up to, and the downhill ride on the emotional roller coaster is thrilling and exciting before it comes to its full stop. Your tragedy needs to be able to pack the punch that your set-up loaded it for.

The ending would not have had the same punch if, for example, Frankenstein caught up with the monster, they reconcile, and each go about their lonely way before dying. The fact that they never reconcile, and that they each have their regrets, and that they each knew that they ruined each others' lives, and that they each are denied happiness holds more weight than if they fixed things between them before dying off.

Last but not least:

-Audience. Know who you are writing for, and you will know how best to toy with their emotions. You do need to keep in mind that you cannot please everyone, but you should also keep in mind the type of people you want to cater to. Romantic tragedy, for example, will not work in the same way as a horror tragedy, and different age groups will react to different things in different ways.