Anyone know if there is a mod that penalizes you for dying? Is it even possible?

One way would be to intercept the death and take you somewhere with you attributes being reduced, because I do not know how you could get the death to record on a previous save.

Wrye did something to do with death. It involves some very advanced installation procedures though, and is quite dated.

http://wryemusings.com/Wrye%20Shivering%20Death.html

Well, he was on the right track. Hope someone has something else.