I agree with you that losing too much can get one fed up with a game.
I would like to see a game where if your character dies, then the next character you create evolves in the world of the first character: Completed puzzles are completed, etc., and you will eventually find the corpse of your previous character, what killed him/her, and can try to face it again. A bit like the bone files in NetHack, but in a game with a story (if you don't know, bone files are files of the level where you died, with everything that was there - plus your ghost and some curses on what you wore).