Bagpuss: At our current level we can not afford a Raise Dead, and the DM rips up character sheets anways, and even if he did not the other PC are all greedy and will not give up a copper for anyone else. This is not too much of a problem as the DM made some decent premade characters so that if someone dies then he lets us pick one that would be appropriate to the group at the time. The player whose PC died will be playing a Paladin.
Philotomy: Yes, I would still have fun if there was no risk of character death. Ideally for me the fun of the game is about the interactions between the PCs who have all become friends with each other. It kind of ruins RP for me if none of the original adventurers are even left.