Playing hard-to-get immediately lets a man know you're worth fighting for. Men love a challenge, and aloof, borderline disinterest will force a man to work hard to get and keep your attention. Women often make the mistake of appearing overeager upon first meeting a man, which is a huge turn-off most of the time. When you appear to have a life that exists separate from him, you create a sense of mystery that he will be forced to decode.
Avoid having sex prematurely. This can be difficult when two people find themselves extremely attracted to each other, but holding out physically can lengthen the overall duration of the relationship. Often, having sex too soon promptly ends the chase because it communicates interest in just a fling as opposed to an actual relationship. Men are easily satisfied by a physical relationship and can forgo an emotional one altogether. Therefore, it's wise to hold off on sex until you're sure both parties are interested and involved on the same level.
Playing hot and cold is also part of the chase. This definitely keeps both parties guessing what it is that makes the other one tick and therefore engaged in the game. Playing hot and cold involves alternatively behaving as though you're very interested in and available to the other person and acting as though you don't give them a second thought. This ambiguous and confusing behavior, when done right, can keep someone in a game of cat and mouse for an extended period of time. Be very open and flirtatious when playing hot and avoid being too distant for long periods during the cold time so you don't lose their interest all together.