Death in games can add to the athmosphere, for it creates suspense. If you just cannot die, there is no suspense in action themes. For example The Longest Journey. There are some scenes in which you are in a dangerous situation, but you have all the time you need to solve them. Theese scenes are not creating suspense at all, they are just normal game scenes with heart pounding music.
If you would automatically die after a set time, or better: after a number of tries, this would be more suspense.
BUT: As it was already said, you have to think about how to handle Death. To keep the player in the flow, it's not advisable to present a "Game Over - Load Again?" screen. For simple handling, I would suggest a death sequence, showing the player what happened, and then auto-reload the scene he died in to have him play again imeaiately without and choice. If you give players a choice here, the answer might also be "no".
I read an interesting game design article about player choice requesters -- nearly all of them are counter productive, so you should generally avoid asking players what to do. For example, if you reach a checkpoint, don't ask the players wether they want to save -- of course they want to. Just save and continue. Same here: If the player dies, just load and continue. If the player really wants to bail out, he will find his way through the menu. Otherwise keep him playing without disturbing requesters, even after death.
If you're going for a fun adventure, try counting player deaths and make fun of them. An example NSC could note that the player is "somewhat pale", and the number of NSC remarks increases with the number of deaths.
The concept to play in hell for a few scenes is nice, but it may disturb the normal game flow. If the player died, the idea what to to instead might come while watching the death sequence. So let them try their new idea as soon as possible!