Analyze how the reluctance of a central character to accept reality may lead to tragic consequences. I am having a hard time thinking about what...

You will need a thesis statement in order to create the
supporting points that each of the paragraphs in your essay will cover.  From the essay
prompt that you have given, I will assume that your thesis statement is: 
Hamlet's reluctance to accept reality leads to tragic
consequences. However, you will need to further define your
terms.

What is the reality
that Hamlet is reluctant to accept?  His father's death?  The veracity of the Ghost? 
The remarriage of his mother to Claudius?  His own grief?  Any of these could
potentially be a truth that he is reluctant to accept.  You must decide which you will
focus on.

You must also decide what the
tragic consequences are that result from Hamlet's reluctance to accept
this reality.  Is it Hamlet's own tortured spirit?  The numerous deaths in the play? 
The final demise of Denmark, which is invaded and, presumably, taken over by Fortinbras
at the end of the play?  The easiest way to create an essay is to choose ONE reality
that Hamlet is reluctant to accept and ONE set of tragic consequences that result from
this.

Here is an example of the thesis statement with terms
further defined:   Hamlet's reluctance to accept the reality of the
Ghost's truthful call for vengeance leads to tragic consequences -- the death of nearly
every character in the play.

To suport this
thesis, I would first show the moments in which Hamlet argues that the Ghost might not
have been an agent for good, the moments in which Hamlet decides he must have more
proof.  The most obvious of these is the moment in Act II, scene ii when he decides to
"catch the conscience of the King" at the play.  These moments will connect to the
assertion that Hamlet is reluctant to accept reality.

Next, I would show how the deaths of
innocent bystanders Polonius, Ophelia, and Gertrude can be attributed to Hamlet's delay,
his refusal to accept the Ghost's word and act quickly.

And
finally, I would show how the acts of intrigue that kill Rosencrantz and Guildenstern,
Laertes and Hamlet himself are all direct results of Hamlet's avoidance of accepting the
reality of the Ghost's command.  Claudius is, in fact, the very last person killed in
this play.

Please note:  The above ideas should
be taken as an example and not the formula for your essay.  You should
develop your own thesis, but you might certainly use these ideas to help you develop
your own thesis statement.

The links below will give you
more useful information.