dtgreene: What about non-RPGs, like Super Mario Bros., in which the player character can die?
Well, if it's a non-RPG, then I'm not role playing, and just... playing a game. So no, I don't do the same thing in those types of games. Of course, most of them have dying built in as part of the game as in you get extra "lives" or start with three lifes or what not. So dying is sort of part of that experience. But still, I just don't "get into" those kinds of games the way I do RPG's.
I'll tell you something about the way I play though. When death really means something (like losing 134 hours of a game) you really, really, REALLY, get into the moment and you really, really, REALLY do everything in your power not to die. That intense experience just isn't the same when dying merely is an inconvenience that loading a prior save fixes. It changes the way you play, and, for me at least (I realize others don't agree), it makes it much more of an enjoyable experience. I mean, no, I don't "enjoy" dying, but that whole scenario that leads up to a possible death is just much, much more enjoyable, almost like a rush. I used to play the way I guess most do, but after playing this way, I wouldn't go back if someone paid me to. It really puts role playing into an RPG.
I've lost two characters that I had well over 120 hours into (one level 43 character and one level 40 character, those are the two highest I've gotten) and I've lost another half dozen or so that were in the 30's as far as level goes. And yeah, it's painful, but, for me, worth it because it makes those in game moments so much more intense. And surviving something you thought you might not is way more enjoyable. And besides, usually 15 minutes into a new character, the pain of losing the old one is over as now I'm "into" this character and what I can do to make him advance, etc.
Fallout 3 was actually pretty easy to survive. Even if you were down to a single HP left, as long as you could open your pip-boy, you were okay, (assuming you had stimpacks, food, or whatever) because healing was instantaneous. And that's the way healing works in many RPG's, so it's not as far fetched as you may think to complete them without dying.
FTR, I've never completed Skyrim either. But with about 1000 hours into that one, I'd still say I got my money's worth of entertainment from it. Plus, I may beat it someday.... LOL