Interesting question. As long term chastity slaves to my Mistress both arturMA and MA_bob would be morequalified  to answer you, but as an occasional chastity slave when both vanilla life permits, and more important the idea of chastity play with me appeals to my mistress, I have had a little experience.

Before being sent away caged MA ensured that through a programme of tests Her device fitted without risk to health, and when she held the key a sealed spare was given to me with a stict instruction that should a Heath and Safety issue arise then I was to break the seal on the spare key.

To answer your actual question, for me it was my own mind which was my ultimate tease, and this was especially so when I slept and dreamt of my Mistress. Without anything to block any competing images, and spawned on by continual reminders of Her control which Her device provoked, nocturnal penile tumescence (NPTs) occured. These uninhibited erections could become so engorged that for me the pain at times was honestly excruciating, and that pain and my predicament fed upon itself to prolong the agony, but it would never make me reach for the emergency key. 

For me, if you are serious and commited to Your key holder, that trust could never be broken by me short of a genuine risk to my long term health.

Have you ever been caged my a Mistress SpikeChaseTT. Either way it would be interesting to hear your answer to your own question.