This. Getting killed is fun on occasion. Better than going through the game on one life anyway..
I don't mind this if I have a save only several minutes back.
I think what everyone is talking about is the FEAR of death. I am playing an extremely vulnerable character in Oblivion at the moment. I do actually fear for my character's life when he faces spellcasters and magic dealers. (He just cleared a fort of marauders, feeling pretty good about himself, he walks outside and is one-shotted by a spriggan.) It is this fear, which forces you to consider all the tools at your disposal, to deal with your enemy. To reiterate what glargg said, the game hands you everything you will need to succeed. It's up to you on how you make the most of it, or not.
And most importantly, because the game gives you everything you need to succeed, there is no need to efficient level. Really. Trust me. As long as you have one good killing skill, you're good to go. I've fielded many epic characters, even out of the default classes.