What is it exactly that we find scary in games? In these terms, the question is too broad. To pursue this line of thoughts we have to exclude all scare tactics (disturbing images, unsettling soundtrack, sudden visual cues, a small amount of cheap thrills etc.) that are common to both games were you can die and games where you can't. Let's rephrase the question to something more manageable, then:
which scare component is present only in games were death is possible?
Well, certainly not death itself. Although we may be caught in the game action, the pillowy chair we sit on will always remind us that there is no real death risk. So what is it then? The only answer I can think if is that
we're scared of the nuisance of possibly losing game progress. So, once you decide that in the game you're designing death will be possible, you face two options:
1) Implement an autosave feature. This way, whenever your character dies, the game will be restored to a previous state immediately before the death sequence, so that no game progress will be lost in the process. Well... doesn't this defeat the purpose? If our fear stems from the possibility of losing game progress, won't eliminating such possibility also...
eliminate the fear?
2) Leave saving to the gamer. You forgot to save? Though noogies. The monster eat you. You're dead, and you can either pick up from that savegame you created two hours ago, or start the game from the beginning altogether. I have no rational argument against this strategy but... although I can take it from an FPS, you shouldn't be surprised if you see me hurling an adventure game out of the window if this happens. The frustration overcomes the excitement, and the result is a negative sum.
So, option 1 makes me go "meh", and option 2 makes me go "ARGH!". I'm not sure a game developer would want to elicit either out of their faithful gamer...
From my point of view, I've always felt sufficiently scared by those tactics I mentioned earlier, and games aplenty are stuffed with them (The Lost Crown, Barrow Hill, Scratches, Dark Fall... etc).
