Fable 2
I didn't legitimately die at all during it. There was one time where I was fighting a boss and I wanted to kill them in an amusing way instead of what I had been doing so I decided to try again and figured the quickest way to do that would be to stand there and let myself die. Unfortunately that's when I found out you just stand right back up immediately after... Boy was that disappointing. Outside of that, I had massive amounts of useless potions I didn't need and never bought any extra. The severe lack of difficulty on that game was a real let down.
Silent Hill 2
Didn't quite finish it, but I came pretty close to the end. Eventually I just got really bored with it though. The story was cool, but the gameplay is easily the worst and most tedious of the original Silent Hill trilogy.
The Legend of Zelda: Majora's Mask
When I played through Majora's Mask I had just come off of marathoning Ocarina of Time (which I only had a couple of fluke deaths on anyway because it was rather easy), and at that point I had gotten into the swing of things enough to totally breeze through Majora's Mask even though it was harder by comparison. I'd also list Twilight Princess, but I haven't actually gotten around to completing that, but it's ridiculously easy.
Shadow of the Colossus
I've fallen off of them certainly and had to climb back up, but I have no idea what the game over screen looks like.
Eternal Sonata
Been a while, so this might be wrong... but I don't remember losing a single battle during the game when I played through it. There were some close calls, I've lost party members during fights, but I'm pretty sure I haven't lost any of the battles overall. I also was impatient, so I didn't grind much and was a bit under-leveled, which made some parts a real ***** as I had some of my party members die really easily which required multiple revives during certain parts.
The Legend of Dragoon
I didn't quite finish this one, but I played through 3/4 of it over a couple days and didn't die at all. I also had a number of spots where I would forget to save or just not even bother and I remember be relieved that I didn't have to redo a whole bunch of stuff again.
Black & White 1
I came pretty close to the end and dreaded being attacked by other gods/creatures the whole time, but during the entire thing it all went surprisingly smooth without any significant screw ups. Although, I did have a couple of luck out moments. (I especially dreaded it because strategy games are not my strong point.)
That's all I can think of offhand. There's others I'm sure, but I don't own them anymore, so it's harder to remember than simply thumbing over my collection. Other than that, there's other games I've played which I've never died on, but I only played halfway or so through them, so it wouldn't be fair to list and still had a good ways until the ending.
Also, for those who are wondering how I know how I know how far I was in some of these games I didn't finish since I hadn't seen the end. I've skimmed guides before to find out how much was left in the game.