Actually I usually chock most of that up to a the necessary divergence between gameplay and story. In gameplay, dieing for one bullet makes things bad, in a story not dieing from one bullet makes things bad. Your gameplay and your story sometimes need to have different laws in order to make things work. You may be an immortal ass-kicker who punts babies in the game, but in the cutscenes the character is a kind and fragile regular old human. I think its better just to laugh at it and accept it then to get angry at something that kinds of has to exist. I guess you could try and write stories that revolve around the gameplay better too, but unless your a developer or know one, that isn't going to do much.
Also, "Cutscene death is forever!!"
Also, "Cutscene death is forever!!"