I've played in a ton of games and have made over a hundred characters, most of whom I've poured a lot of heart and time into making. Which makes their untimely demise all the more heartbreaking.
One of the things I've learned over the years is sometimes the best stories happen when a beloved character dies. Not because I'm morbid, but because where is the fun if there is no risk involved.
When I first started gaming, I was a cautious as I could be with my characters. That didn't translate to my character being safe as I was saved by GM intervention on my first night gaming. But after that, I kind of played my characters a little more close to the chest (and read the books to better understand archetypes).
Until Squirt. She was my rough and tumble, shouldn't be allowed to be played, five year old Hell on Earth character. Technically, the youngest age allowed for the game was thirteen, but I bribed my GM and put in a shiny fixation that allowed him to lead her by the nose. Because this was old Deadlands, we drew cards to get base stats and I drew like a god only to have some of them knocked down due to the character's age.
But still, I was one of the best fighters because Squirt knew no fear. The rest of the group, not so much. Whenever a fight would break out, she'd get tied into the vehicle and left out. And I would have to listen to one of my roommates complain about how you can't do tactics around a five year old on the way home.
Then came the fateful night of Squirt's death. I didn't have to let her get killed, I had more than enough chips to negate the damage, but I let her go for the sake of not listening to complaints on the way home.
Even though it was my decision, it still hurt. I had over a year into playing her and tons of stories to go along with it.
But it was one of the best decisions I ever made. As much as I loved Squirt, her death opened me up to playing my characters more true to their nature's and not being afraid to let them go when their story ended. I've seen a lot of players do everything in their power to keep a character alive to the detriment of the game itself and it's boring. Sometimes you need to let loose and play it like your in a John Woo film. Don't be afraid of a little character death, live a little. You might be surprised at the stories you can tell later.