As creator of the supposedly "deadliest" roleplaying game of all time (possible exception: Paranoia), I must defend the concept of character death.
Games are plainly more fun if the players feel something is at stake. If the ONLY difference between success & failure is whether they get the treasure now or later, this enervates and weakens the drama. In Call of Cthulhu, I three tools in my toolbox to make players feel something is at stake.
First, and most obviously, investigators can die. This is universal among roleplaying games. (In Paranoia, no one cares if they die though.) The deaths in Call of Cthulhu are gruesome, but it's no joke when in D&D a hero is dissolved by a gray ooze or swallowed by a purple worm. It's easier to kill investigators in Call of Cthulhu, because there is more of a power mismatch in horror. The players expect this mismatch, though, so they don't feel it's unfair.
1/3 (art: Tom Sullivan)