Once on one (RP focused) persistent server of Neverwinter Nights, I undertook a hazardous voyage to one of dungeons far from a city. I have got seriously wounded and was sneaking back. I had no healing potions left and all my applicable spells were used up. It was night, the city was far away and I didn't know the region well. I heard howling of werewolves from near forest, I found a clawed tree... Damn that was horrifying. And mostly because I knew that I can not save the game, I can not even pause it. I just had to continue playing or log out (but it would tell me that I died after logging in).
When you die, it is not over of course, you will respawn. But you will loose some valuable amount of experience and all money. I know it can not be implemented in that way in a singleplayer game. It would be also pretty lame if you were not able to stop the game whenever you want to. But if there were some way how to evoke that fear, it would be great.
There were sometimes public events on that server - lots of PCs and NPCs on one place and everyone played quite responsible - more realistic. In Oblivion it would be like: "Hey, save it and try what happen if you shoot that king to the head!" (Almost) no one would ever try it if it was irreversible.
The ability to save-and-load makes everything possible - you can break any lock or beat any creature - just by trying it again and again and again... Sure you do not have to do that - it is your singleplayer game and it is just up to you how you play it. But, at least for me, it is sometimes hard to resist. And what can you do if you die? You have to load and try it again.
I just want, you know; "Do or do not. There is no try."