Well, for me, it's yes, but only you have lots of different and wackiest ways of dying!
Ok, seriously, I don't have any major beefs with this, since I usually try to save a lot. And I think, in specific games, and specific situations, knowing you are in fact taking a real danger that can affect (although in a limited way) your character and your progress in game, that can add up to the feeling of immersion in the game.
However, I do not like in any ways something that keeps me from progressing by forcing me to repeatedly try out the same action over and over and over so that I can bypass a "cliffhanger" scene (yes Fahrenheit...I'm talking about you
)!