Yesterday Alexis at Tao of D&D put up a post comparing golf to D&D and said this "If the DM of a campaign plays according to the original precepts of D&D, players will die. If the players are of the sort that find the business of living to be obvious and dull, if they're not challenged by the process of going to work or being part of a group, they will want this. They will see the risk of dying as a good thing. Not because it doesn't matter if they die, for they will feel the pain and the sadness of losing their characters as keenly as anyone; but because if that chance of dying isn't there, the game just isn't hard enough."
Dungeons and Dragons is not just a game. If we played it just to have fun, or experience a story, or to socialize with friends, we could just play video games or read a book or spend time hanging out. D&D is more. D&D challenges our mental faculties. Death is such an intrinsic part of D&D that even for those games where character death never happens, the DM still works to make it look like it could happen. Even with my houserules, which makes death a much less likely possibility, a PC will die if they are foolish.
This is a problem I always have with players who have experience with other DMs and they're coming to my group for the first time. They become connected to their character, and because their character has never died or only when there was dramatic reason for it, they mope and complain when the PC dies. These players somehow get the idea that they shouldn't be as closely attached to their PCs as a result of the high risk of death. In reality the player does and should feel a connection with their PC, but that doesn't mean the player shouldn't be ready to generate a new character and learn from their mistakes.
As an example, a few weeks ago I DMed a solo game for a new player and, even though she hired 3 npcs to go with her, she died within the first half hour of play. She ran into a lair of ghouls and stayed to fight and every round 1 more ghoul came out of a burial mound, and she was outnumbered pretty quickly. But she went ahead and made a new character and some other players showed up and the rest of the session she was very cautious. She used what she learned to improve her chances of survival with the next character. If anything her change in behavior shows how she had an attachment to the first character and didn't want the same thing to happen to her new character.
I guess the point I'm trying to make is that Players should have some emotional attachment to their characters, but without the real presence of death and other consequences in the game, there is no challenge to the game. People who have never played before ask how do you win when playing D&D. You win by having your character survive.