Pen & paper RPGs comes with a pretty permanent character death, especially at low and mid-range levels. There are no savegames and since the resurrection spells are usually high level spells, you don't have early access to them. This makes that you really think about every step you take, and that you really care for your character.
I remember when my Half-Elven Paladin died during what was supposed to an easy encounter because of a critical hit (the DM rolled a natural 20 twice in a row nonetheless). When it happened I think we said nothing for about 5 minutes. Then we spent the rest of the gaming session to give our hero a proper burial. I didn't roll a new character until the next session.
I remember when my Half-Elven Paladin died during what was supposed to an easy encounter because of a critical hit (the DM rolled a natural 20 twice in a row nonetheless). When it happened I think we said nothing for about 5 minutes. Then we spent the rest of the gaming session to give our hero a proper burial. I didn't roll a new character until the next session.