To be honest the only character I have ever had die was the Druid/Psion that I messed up and my father-in-law killed him so I could build a full on Psion instead. So I don't think that one counts much as it was a willing death. The group I normally play with (my in-laws) don't really do the character deaths much and tend to gimp the damage to instead incapacitate the character rather than kill.
Now I did actually kill my first character while I was running a game the other weekend. I killed 2 actually and they surprisingly took it better than I expected them to, which was great of them.
One was my father-in-laws character who fell from a trap that did more damage than I felt comfortable gimping; so I just let it go through and it dropped him.
The second was a friend that plays with us, and his character dropped something like 15 minutes after the first. He got the attention of a Death Giant they were fighting and the Giant ran up ad smacked him full on and did 164 damage on a full attack and dropped him to about -60 something.
They got resurrected so they were fine, and they took it well when their characters dropped which surprised me.