In adventure games like the Zelda series, or the God of War franchise, or any number of similar games, a convenient work-around can be adopted. 2006's Prey featured a character with the ability to spirit-walk; that is, he could detach his soul from his body and wander around at will. This ability was extended to the death penalty, where the character was forced to fight his way back into his body after death. This mechanic fit the theme of the game and offered players the chance to feel that the return to life was earned, which made dying just another part of the overall gameplay, rather than a burden to be avoided.
The point-and-click style of games like the Monkey Island series don't traffic in death at all. The emphasis with this genre is solving the puzzles, so incorporating death would seem to be beside the point. At the same time, however, those instances of actual death -- as in Maniac Mansion, for example -- stand out so strongly that they fit the role of negative feedback perfectly. When death isn't a common occurrence, then its appearance is noteworthy, and to be feared.
Nowhere is death more common than in the first person shooter. Especially for players who are new to the genre, death occurs with maddening frequency. The only detriment to death in games like these seems to be a loss of position and time, and these are easily overcome. Sometimes the loss of a picked-up weapon can carry some weight, but as a setback it's negligible. How, then, to ding the player for a loss?
If the point of an FPS is simply to run a gauntlet and make it to the other side, perhaps a good penalty instead of death might be a temporary loss of speed; this would have the effect of longer trips through the level, and thus more opportunities for enemies to kill the player, which in turn would add more duration of slow time to the character. The overall effect would be strongly punitive and really entice the player to sharpen up his skills. The negative consequence, however, is that because of the additive nature of this slowdown effect, players who aren't naturally inclined to stick with it might become discouraged early in the game and not want to continue.
If the point of a multiplayer FPS is to rack up a number of kills, then the simplest solution is to take away a given number of kills upon player death. However, both of these ideas still require at least a cursory nod toward the concept of dying. It seems there must be some kind of acknowledgment that a line of termination has been crossed, and fees levied. Is the idea of player death now such an integral part of video games that it's foolishness to even consider removing it? Maybe the whole issue can be dealt with by simply calling it "defeat" instead?

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