Some good answers by Neirikr and Wyrd.
I invited my players to choose in what way Gaedren Lamm wronged them, giving them a history with the crime organizations of Korvosa.
I have a player who has a home and family.
I have a player who had a valuable heirloom book stolen from him by Gaedren, that was later purchased by Rolth. (sort of a macguffin to keep him searching for it).
I remind the players frequently that there are immediate resources available to them (like healing and restoration) that is not readily available outside the city.
And I also remind the players that just as there is no crying in baseball, there is no nihilism in fantasy roleplay. You have to care about something in order to get on in the world, even if it's your own selfish pride.