Dreamteam67: That would be pretty tough, since when no slots are occupied by "living" PCs, the game activates the "you lose" screen.
The question is, of course, when does the game check to see if there are no living PCs? In particular, is there some way of tricking the game into letting you have no living PCs, but still play? If so, how much can you do without triggereng the "you lose" screen?
I can think of a few games where that is possible. Bard's Tale 3, for example, will let you drop the last living character if it's a monster or illusion, and won't give you game over until after an enemy attacks (who does the enemy attack?) or you step on a damage square. Final Fantasy 5 and 6 both have situations where you can have an all-dead party outside of combat, and the game won't end until you get into combat (and Phoenix Downs can be used from the menu since items used that way aren't used by a specific character); FF6 provides a way to get an empty party (when Shadow alone arrives at Narshe, he leaves your party, leaving you with nobody), though the game unfortunately softlocks at that point. I remember in Might and Magic: World of Xeen getting a party where the only PC was petrified; one move would end the game, but I could in theory save the game in this state.
Edit: I could also mention Dragon Warrior 3 (NES), where it is possible to have an all-dead party, and if you do, the game misbehaves and corrupts memory; this has been used in a speedrun to skip most of the game, including one particular major boss.