The game is no fun unless it involves a little risk. At the same time, you don’t want to build a complicated character with a rich backstory only to have him cut down by the first kobold he meets.
Some gamemasters will make it difficult to kill a player character in an effort to encourage player investment. The theory holds that if the player knows his character will not die quickly, he will be more likely to build a more interesting character.
Death should involve a conscious choice. Mind you, the player does not necessarily need to say “this is when my character dies” but he should be aware that he is entering into a situation that could kill him. The player should be aware that there is something dangerous and let him choose to interact with it. There is nothing worse than killing a character because they did something innocuous. “You drink the ale? Oh, well, it was poisoned. Sorry. You’re dead.”
You have to let the player roll dice (or use whatever system to resolve a challenge). Players understand that they are victim to the whims of the dice (or rock-paper-scissors or whatever it is you use to resolve conflicts).
This advice may be controversial but in my humble opinion someone should die early in any new game. Once one player character has died and the Gamemaster has shown that he is capable of killing, it really does not need to be done again for a very long time. The memory of how so-and-so was killed by such-and-such will linger for many games. It sets a tone.
You may feel that you want your players to play a bit before seeing a character die. I feel it is much worse to have the first character death be several games into the campaign. At that point, the players are invested. Now, killing a character must be a big event.
If you plan on killing player characters, it’s a good idea to have some idea of what that player will do for the rest of the evening. You may want to have some pre-generated characters on hand. I like having the player take on the role of one of the villains who decides to switch sides for some reason. Can the party actually trust this new party member? It can make for some good roleplaying.
Remember, death is simply change. This change from what is known and comfortable to the unknown and unfamiliar is what frightens people about death both in real life and fantasy. The player will be going from one character to something else. Unlike the real world, you can decide what will happen after death*. What is that something else?
Personally, I am not a fan of resurrection in games. It diminishes the importance of death and gives many games more of a “video game” feel. Somehow the character has extra lives. In my game if a player uses Resurrection, it is usually difficult and has consequences. No one comes back to life exactly as they were before death.
* I suppose certain religions might be excluded from this statement.0