In college I took Psychology 101 - Introduction to Psychology at 7AM every weekday. Looking back it was ambitious to get up that early and have to critically think about how the mind works. Nevertheless, I was thinking about D&D, as I tend to do, and how trained players are to react to rolling a natural 20 and a natural 1. It seems that these situations that fall into the realm of behavioral psychology, particularly with classical conditioning.
Most famously researched and observed by Ivan Pavlov, classical conditioning focuses on a reaction can be learned when certain stimuli are around. Pavlov particularly studied how he could make a dog salivate from the stimulus of a whistle. Initially a dog would salivate when it saw food and would not salivate when it heard a whistle, but over time when he whistled and then gave the dog food the dog associated the whistle with food and would begin to salivate even without any food stimuli.
Similarly, in D&D when a player rolls a natural 1 or natural 20 a similar condition is occurring. Where rolling a dice does not cause emotion, but critical failure and critical success does. While it may not be perfect Pavlovian conditioning, it does show that we are conditioned to be excited for the number 20 and fear the number 1 when they are rolled. This emotion can even play a big role in a campaign where a player has to hope to not fail a saving throw or when they really hope for a critical hit to fell the foe they are facing to stop it from destroying the party. A simple psychological thing like conditioning can allow the campaign to gain some level of suspense without the DM having to add much more than a situation where failure could mean very bad things happening.