I think my first "whoops, them's the dice rolls" PC death was... late in high school, in a Call of Cthulhu game? And it wasn't in battle against a Big Bad. He was infiltrating for clues, blew a Climbing roll, fell, was knocked out on landing, woke up in a jail cell, and was charged, tried and executed (not played out in detail) because he was the obvious person to blame for the horrible mysterious deaths which had recently happened. Which makes sense: he's from out of town, he was sneaking around at night, he didn't have a "rational" explanation of what he was doing.
In Call of Cthulhu, I was ready for PC mortality. But it was a more *meaningless and futile* PC death than I expected. The Keeper (DM) wasn't demeaning. He was sad to see a PC fail and die without even learning what they were up against. He made a valid decision, and raised my respect for the integrity of his storytelling.