Sometimes players leave gaping holes on their GURPS characters.
Sometimes it's assumption - I have high ST, DX, and combat skills, so I'm probably hard to scare. My guy has great Will, so his disadvantages won't bother him so much. And so on.
Sometimes it's just not realizing that GURPS requires specific coverage of certain areas if you want to be good at them. If you come from a game that merges concepts that GURPS splits out, or splits out ones that GURPS merges, you can get stuck.
Other times it's just not recognizing the solution that's out there. It's making a man without fear and not knowing how to do that. It's deciding near-immunity to magic is the goal but not realizing the hidden costs.
So how do you cover all of your bases?
Here are some solutions to common concerns: Death checks, Fear and Fright Checks, Disadvantages, and Magic.
Don't want to die? Not hard enough for you? Beyond adding Damage Resistance, higher defenses, and more HP (so you can roll less often in the first place), here are some ways to make that roll more reliable.
Narrow solution: Hard to Kill. At 2/level, this is a flat +1 to death checks and lets you (well, makes you) play dead very effectively.
Wider solution: Higher HT. At 10/level, it's a +1 to death checks (which are HT rolls anyway). This more broadly impacts your character in any case. Combine with the narrow solution for precise levels. Don't forget that rolls to avoid death aren't penalized and are effectively capped thanks to the automatic failure rules.
Complete Solution: Unkillable. This is 50+ points, and it's generally not available. However, if you really want to not actually die, some level of Unkillable is what you need.
So you don't like failing Fright Checks? It bothers you when your half-ogre death machine turns into a terrorized coward and runs in the face of a fearsome foe? Here is how you design your character so your stats match that concept.
Narrow solution: Fearlessness. Get the Brave perk, as well, to raise the cap versus Fright Checks (normally, 14+ fails no matter what.) 2/level for a +1 to Fright Checks. Even with the maximum, you can ignore higher levels of penalties by exceeding the maximum as your base score.
Wider solution: Will. Increase your Will, which affects Fright Checks, resistance to Fear magic, and many other rolls. Technically IQ is an even wider solution, but it's more costly than the complete solution.
Complete solution: Unfazeable. If your character concept is really "I'm not afraid of anything, not even fear itself," this is the way to go. 15 points and you just aren't scared. It's possible beings with the Cosmic enhancement on their Terror ability will still scare you, but for "normal" situations you just get to not roll.
Hate how your disadvantages really limit your options when you want to ignore them the most?
Narrow Solution: Higher self-control rolls. Don't forget that the default is (12), but you can make it easier (15) or harder ((9) or (6)) to resist your disadvantages. Be Greedy (15) [-7] instead of Greedy (12) [-15].
Wider Solution: Quirks. Don't be Greedy (6) [-30], being Greedy [-1] and you can just decide on a case-by-case basis what that means. Just talks about getting rich but it doesn't really let it affect his choices most of the time? Quirk.
Complete Solution: No disadvantage. Just don't take disadvantages that force you into actions you don't want to take! Find an alternative, or talk to the GM. Maybe you don't see your guy as Greedy, per se, but rather power hungry - he'll ignore a giant pile of money if it's too risky but he can't resist snagging the Evil Item of Power and giving it a try. If your disadvantages force you to act a way you don't see your character acting, they really aren't the disads for that character!
Want to shrug off magic like Conan does at the climax of every Conan vs. wizard fight? Hate how failing your roll versus Flesh to Stone feels? Think save or suck magic takes away your agency?
Narrow Solution: Magic Resistance. At 2/level, you get a -1 to have spells cast on you and a +1 to resist them. Or just +2 if it's an area spell. Add Improved (for 5/level total) if only hostile magic reacts badly to you and you can still quaff potions.
Wider Solution: Will and HT. Will is 5/level and HT is 10/level, but they'll each improve your resistance to a subset of resistance spells. They also have broad positive benefits for your character.
Complete Solution: Mana Damper. Make yourself a one-hex No Mana Zone. Add Cosmic or Switchable if you want to let good magic through. Like Unkillable, this is generally not available, but it will work if you use it!
Hopefully those will help you understand some of your options. There may be other ways to make these things happen, but the three-tiered approach above will at least get you started.