User blog comment:DubiousPeddler/Why the Dragonborn can't die./@comment-11766885-20131010090724

The game loads your latest save, but I like your reason, Akatosh.

Character permanent death would be a great addition to a Hardcore / Realistic mode. As you die you're treated to a mini cutscene. ( Have a few random or quest related mini cutscenes ) That way you would have a small reward for trying to beat Hardcore mode, if you died before the main story ending.