well, i do dislike it when my character seems incapable of dying in the campaign world as a whole. it wrecks my fun when i feel no sense of danger as a player. with that said i hate it more when a dm doesn't even give you a decent chance of survival ie stealing your magical weapons and matching you up with a creature each of the cr equal to your level that has damage reduction.
the dm i'm playing with once refused to kill our characters or put any real defenses (see magical) on things like royal treasuries. i basically had to repeatedly loot the treasure rooms of his favorite kingdom in his world several times to get him to realise that a king probably would have his stuff better protected then a tribe of ogres or hobgoblins in a world of high magic. then i had to start insulting his villians to their faces to get them to kill my character and then make a point of not being angry and being vocal about the fact that i thought it added a level of realism to the game when there were consequences for the character's actions.
i laugh every time i think about my paladin telling the thousand year old orcish warrior to "shut up and stab me, it's a better end then being bored to death by your incessant whining about the tortured existence you have been forced to lead. you make me sick, you are not even worthy of my contempt. why don't you just........... *choking on own blood noise*"