Find your inner peace before playing. If you're already pissed when you start the game, you're only gonna get more pissed every time you die, and that's no fun. To enjoy it, you need some serious Zen, especially if you get angry easily, like myself. Just accept death as part of the journey.
I had a few experiences where played in an already somewhat exhausted and exasperated state. There's just no point if you can't use your full concentration and keep your cool.
Also, if you aren't playing as a thief, pick the master key or whatever it's called as your starting gift. It seems the best, imo.