If I may quote myself, I once wrote a related piece in my newsletter:
ARISTOTLE ON DIRECT MARKETING
Aristotle was one of the great minds of all time. He is best known for his works on philosophy and science. But he also wrote a small book--the Poetics--that is still the prime manual on story writing. In it, he outlines the six elements of drama: spectacle, song, diction, thought, character and plot.
The most important element, Aristotle says, is plot. This is true of a play, a novel... and a direct mail letter. What does "plot" have to do with a letter? I'm glad you asked that question.
Simply put, plot is the pattern or structure of the story, without the trappings of style (song), design (spectacle), etc. And a plot has to build. Just a series of "this happened, then that happened..." isn't a plot. Each step of a plot must be "caused" by the step before it. And each step has to be more and more intense and exciting.
That's what keeps the reader involved... right up to the end.
Aristotle would tell you it's smart to make sure your next letter grabs the reader from the first sentence, then keeps on building... right to the order!