That's a real live-wire question among gamers. The real question is, how often should you let characters die? In a solo game, the death of a character almost always means a new game, obviously you don't want to slaughter PC's indiscriminately. At the same time, making it impossible for characters to die removes a lot of the dramatic tension from the game and often leads to players doing ridiculous things because they know they won't die. Sometimes, you just have to let horrible things happen to good characters to keep the game interesting, however, I'd advise sticking to things less permanent and more interesting than death as much as possible. Captivity, mutilation, psychological trauma or loss of possessions are classics, killing off a favorite NPC is a good one too. A bit of fudging never hurt anyone, despite the agonized cries from some of the hardcore players. Why else do you think DM's roll behind a screen?