Well first off it took me a while, but in time, and after playing basically all the major systems, I realised, whether you are playing a plain jane D&D game with a level 1 player character and an unexciting 8 or so hit points, or a Rolemaster player character, that covers 4 pages of minute details and considerable effort, they can all be killed by the opponent getting a good dice roll.
It generally takes a lot less effort to find out the orc killed your PC with his hit in D&D though. Roll to hit, roll damage, done. Rolemaster has a great deal more effort and drama involved.
But, if your player CAN'T take the threat seriously, then you've killed the thrill of NOT dying in a close run battle.
Not long back, in the game I am playing in as a player, my PC was the only one to survive the night's session. I barrel rolled OUT of a room when the door closed suddenly. I was rear guard, I was near the door. The room had a vampire opponent. The Vampire possessed one PC, used that on another, left the tank hopelessly outclassed with one remaining PC that was unable to contribute.
I miraculously reopened the secret door (it was a long shot after after all). The tank immediately yelled "throw the sword" (I had this uber undead killing sword). I was basically a super archer ranger, and the player said, I'd rather fight with your sword, than risk your machine gun like archer coming in and getting possessed (he figured if I turned on him he was toast, I could hit damn near anything with an arrow).
Well it turns out he didn't make it. So I told the DM I was behind hard cover around a corner eyeing the door. If anyone came out looking "weird" I shot and ran. Well I had damn near no chance of making the "sense motive" roll, but hey, sometimes you are lucky. I made my roll. The dwarf tank was "weird" looking, I shot and then ran.
So you're in a bar, and you see this really smelly grubby looking elf ranger, who seems to be trolling for some individuals who want some adventure ......
Hey it happens eh. The group are all dead but me. Well sort of, some will be undead adversaries the next time I meet them I suppose. If they have not met up with an adventuring party first.
No one in the group resented that I ran, no one resented they all needed new characters. All my friends are mature adults just getting together to play some rolegaming. Player Characters occasionally die.
Now, if you have a PC, and he dies, and he's a valued member to the "story" what do you do. I once played in a game, where we dragged around a dwarf that had been turned to stone. Of course we did, you can reverse that spell.
I have also had people die in a game, then you bring them back, and the bad news, is they "legally died". That means your family has all your stuff, or a business associate, because they went to the funeral, you had died, and they inherited your things.
Contracts are now cancelled. Your wife has moved on etc etc etc, you get the picture.
I thankfully don't have to worry about petty issues based on "well I don't like that guy, because he isn't a team player" sort of tricky decisions. I haven't had to deal with "oh he's only level 1, he's not worth as much as Frank our 10 level druid".
Generally in the games I have played in, resurrection is not something that routinely happens. It's the sort of mega powerful power that only the gods are likely to offer. It's not something you just buy if you have a shitload of gold.
I've had PCs hover at death's door before, but, when a PC is genuinely dead, it has been my experience "anyone got a fresh PC record sheet?"
One other issue that often get's over looked where death is concerned.
If you are routinely responsible for people joining with you, and THEY end up dead, but miraculously nothing ever happens to the core group, in time, you find it is nearly impossible to hire ANYone to work with you. Nothing like being given a reputation of being a jinxed group eh.