Found this a bit late, still chiming in. I've been gaming since 1997 and I've never had a character die. I've had games die, but never my character. Our most recent near-death that killed the other person in the party and ended with me turning my sheet in was fairly incredible.
Fourth-level characters in an Eberron campaign, as we were playing survivors. I was playing Corden, my friend was playing Vel. We weren't cowards, we were just smart. The lightning rail we're on gets attacked by Valenar elves, their leader engages Vel in combat. Vel disarms him, they wrestle for a while, until Vel finally bests him. And then the rest of the elves show up and surround the car I and the NPCs were in.
Cor: "Vel! What's going on out there?"
Vel: "Um... well, I think our options are limited!"
Cor: "What do you mean?"
Vel: "Surrender or die, that's pretty much how it's going to be!"
So we surrender.
Later, the elves get jumped by half-orcs, and a great battle rages. We're expected, I believe, to join in the battle on one side or the other. We weren't expected to engage in a bit of Grand Theft Equestrian and put a ton of distance between us and them.
Later, we appropriate a stagecoach to continue transporting a coffin, and we're being pursued. Vel's driving, such as it is -- his Handle Animal is a bit low, but higher than Cor's. Cor is holding onto a rope and is braced on top of the stagecoach with a crossbow, firing at his pursuers. We are going far too fast, and Cor wisely gets off the roof (spending action points on just Balance checks to survive) and gets onto the seat with Vel.
Vel, sadly, proceeds to blow three Handle Animal checks in a row, and we roll and crash right into some poor gnome's shop.
Cor's a rogue -- Evasion. Reflex save to take half damage as we are thrown free. Vel misses his, I make mine for Cor. Something like 55 damage. Vel hits the wall of the shop and the stagecoach follows immediately, killing him instantly. His animal companion, Van, a Talenta raptor, makes its save and has two HP left, crashing through the window into the shop.
Cor, with his evasion, leaps off the roof of the stagecoach, through an open window, hits curtains, rolls through them, and skids on the floor to a stop below a bed on his back, crossbow still in hand and loaded.
We ended the campaign there because we didn't want to break up the team of Cor and Vel, but man, that's easily our best escape. I had no business surviving that.
I'm just in one game right now, and I'm playing a dwarven paladin with 64 HP at 5th level, so as not to die on one failed damage save. So I don't know if he'll be my first character to die. I'm hoping not -- I'd like to keep this streak going.