I do several things, depending on the campaign mostly.
In the low-magic, totem driven one, I often offer them to survive, but at a serious cost. This can range from HALF YOUR GEAR &/OR XP! to being possessed by the Totem at times of the totems choosing.
In hirer magic ones, they just hope the rest of the party survives and can get them raised.
I don't penalize them for thier bad rolls though.
Usually we just mock them mercilessly, steal thier drink while they are printing up a new PC sheet, and hide thier dice before they can roll up another character to contaminate the game with.
In Modern, however, if you're dead, well, we hoped we have a will, or "I CALL HIS CAR!"