Origin of Cliffhanger

An episode that ends in a desperate situation...any story, play, etc., in which suspense is a main concern. OED

Illustration for A Pair of Blue Eyes (1872)  see here

In The Art of Fiction (1991), David Lodge names the Thomas Hardy novel A Pair of Blue Eyes (1873) as the first example of a literal cliffhanger in popular fiction. 

A classic scene of suspense that was, as far as I know, entirely invented. The word [suspense] derives from the Latin word meaning 'to hang'.

Lodge was referring to Chapters XXI-XXII, in which a leading character, Henry Knight, is literally left dangling from a cliff  

There could hardly be a situation more productive of suspense than of a man clinging by his finger-tips to the face of a cliff unable to climb to safety - hence the generic term, 'cliff-hanger'.

Based on real events?

Lodge later clarified that Hardy popularised, rather than invented, the term 'cliffhanger', inspired by his visits to Beeny Cliff on the Cornish coast. 

More on the real life incident here (4 minute free read on Medium)