One of the elements of much fantasy that I find distasteful is the invulnerability of characters.
One man that can stand alone against an advancing army of giants is not someone I’m interested in reading about. For what challenges can he ever truly face?
I couldn’t get into the complexity of George R R Martin’s Game of Thrones but I truly appreciated his dedication to the very realness of his world. Characters that would have survived any other author are put to Martin’s sword. Because there is no invulnerability in a real world.
Tension comes from the unknown and it is tension that makes most books worth reading.
Martin’s willingness to kill his main characters makes every scene all the more tense. You never know when your favorite character is going to meet her end so you cherish every moment she is alive that much more.
Much like the real world.
As an author, I find that killing characters is relatively easy. In fantasy, the world is often inherently dangerous and characters are often involved in risky endeavors. If they succeed every time, it isn’t interesting. Often, they are captured when they fail, but if this happens too much it becomes an obvious crutch. So mix it up. Let someone die some time.