Because you want them to understand how a NORMAL game goes, and experience that, rather than get a completely inaccurate impression of what gaming involves?
Just to make my XP comment clear, I don't disagree about wanting them to understand how a normal game goes. However, I disagree with this part:
If you're playing D&D, and normally have a death every 20 sessions or so, then fudging it is sensible, because they're going to get the wrong end of the stick otherwise.
Either you've done a poor job in the setup (as GM) or the player has had a really poor run of luck, or the player has done something phenomenally stupid. Let's look at each of these in turn.
1. Poor setup.
You, as GM, have set the player up for encounters way out of her league.
Proper Solution: "Wow. I've really mangled that setup; I'm sorry. Normally, you wouldn't encounter these sorts of problems yet. Give me 10 minutes to adjust my setup, and we'll try this again."
2. Poor Luck.
The player has a phenomenally poor run of luck, resulting in the PC's death.
Proper Solution:
Long before PC's death: "Wow. You are really having a poor run of luck here. Would you like to stop now, and maybe come back at this later, with an NPC or something?"
When the die is cast (and by this time, the GM has already failed, so we are only looking at how to ameliorate that failure): "Wow. That was a really bad run of luck. Usually, if the dice were falling like normal, you'd have done really well. Still, chance is part of this game. Would you like to try again with another character? I've got a couple premade......"
3. Player does something very stupid.
The player does something like jump in lava.
Proper Solution: "Are you sure you want to do that?" If the player is sure, "Your character dies. Jumping in lava works in the game pretty much like it works in real life."
RC