A Warning Shot

  Do you give your players a 'warning shot' when they're being ambushed or sniped?

"An arrow strikes the tree inches from your head" kind of thing - the thing you see in movies and TV shows, alerting the hero they're in imminent danger so they can dive for cover.

We're not fans, really. It's plot armour that the PCs don't need.
If they've made an enemy that's going to use ambush tactics, or the creatures they're going to face are known for ambush tactics - then the ambush tactics should have a chance to actually succeed.

The PCs get their Perception Checks (if it makes sense).  The enemy get their Stealth rolls. The attack roll is made to hit the PCs.  All of this is fair. If it drops the PC, so be it - the PC drops.

And there's nothing wrong with the PCs doing the same.  PC rolls stealth, enemy rolls perception, attack roll is made.  If the PC one-shots the BBEG because of this? So be it, the BBEG drops.

Is it 'anticlimactic'? Maybe. But any intelligent tactic should have a chance of being successful - drama be damned. If the PCs want to be stealth monkeys and do the job quick and easy - they should get the chance. Does it mean the BBEG gets killed with no idea what happened? So what?

And the flip applies to PCs. If the PCs piss off someone who has access to ninja, the PCs had damn well take measures or they might not wake up in the morning. The trick is to be strictly fair with the rolls.

Now, to go along with this - we help the players. We remind them of abilities they have and might forget to use. We suggest tactics if they want. We remind them of the things they might miss. We don't fudge the dice rolls, we don't 'forget' abilities for the NPCs (though we might legitimately forget) - we play the NPCs as smart as they should be, and help the PCs run their characters as smart as they should be - if the player wants that help.

"It's no fun if the PC dies, that ends the story."

Yes. But if that wasn't on the table, the game wouldn't have 'hit points' or whatever and would have some other mechanic for combat. The moment an RPG says 'you can take this much damage before you fall down' is an indication that 'falling down' is a thing.

We're also a fan of transparency.  If we were going to alter the rules to provide the PCs with plot armour - we'd tell them session 0, to see if that's what they want. We're well aware of GMs who absolutely refuse - which we consider tantamount to lying about the game because when we're a player at the table we expect the GM to use the rules fairly RAW except where they state otherwise.

And 'I fudge dice rolls' is one of those things we want to know at Session 0, along with 'The PCs have plot armour' beyond what our sheets give us.  That way, we can decide if the game is one we're interested in playing. Because we don't like being lied to.  And silence on something like this is a lie of omission.

Of course, different tables, different rules, so Your Table May Vary.