Pathos: a Greek word meaning both ‘suffer’ and ‘experience.’
Interestingly, one of your goals as a writer is to make your characters experience suffering. Because happy characters make for pretty dull fiction.
When people say you should make your readers feel something, they’re talking about pathos.
There are a number of ways to do this—some more efficient than others. Some will, undoubtedly, work better for you than for someone else. Writing is one of the most personal and subjective things there is. It’s important, as with all aspects of your craft, to employ this tool with caution. Too much pathos and you risk overwhelming, and subsequently emotionally deadening, your reader. Too little and they’re not engaged at all.
The key is to strike a balance—make ‘em feel but don’t beat them over the head with it.