First of all, I do not know the Midnight setting at all, so this might not work.
Idea:
Give the character a curse. Make him immortal. Every time he 'dies' he comes back. The catch is that when he comes back he has aquired some kind of negative effect. It doesn't always have to be a game mechanical effect, it could be a role playing effect. You stated that the player is a good role player, so this might work.
Eventually, the character would begin seeking out ways to lift the curse, he realy does want to die. This then becomes an additional plot hook.
The negatives should be weighed in such a way as to actually affect the character, yet not cripple him relative to the rest of the group. Eventually he should accumulate a long list of effects that will provide much opportunity for role playing without crippling his game mechanical ability.
Idea:
Give the character a curse. Make him immortal. Every time he 'dies' he comes back. The catch is that when he comes back he has aquired some kind of negative effect. It doesn't always have to be a game mechanical effect, it could be a role playing effect. You stated that the player is a good role player, so this might work.
Eventually, the character would begin seeking out ways to lift the curse, he realy does want to die. This then becomes an additional plot hook.
The negatives should be weighed in such a way as to actually affect the character, yet not cripple him relative to the rest of the group. Eventually he should accumulate a long list of effects that will provide much opportunity for role playing without crippling his game mechanical ability.