The literary genre of swords & sorcery fiction is a particularly gory branch of heroic fantasy, and that is what this game simulates. Inevitably, this means that some players are going to get into situations that they can't get out of, and their characters will have to die. It is important that they realize this before the game ever starts, and that they know that you bear them no personal animosity. Then, when the character's number comes up, kill him without regret. As a GM it is poor form to become so fond of some character that you let him cheat death when his luck finally runs out.
Generally speaking, a character's death should always be traceable to some decision or action that he made. A character who chooses to fight a bear and then gets killed by that bear has no gripe coming. A character who refuses to wear armor and then gets killed by an arrow when all his armored companions are advancing safely deserves his fate. A character who walks into a dragon's den to avoid a certain death outside it really can't complain if the dragon eats him anyway.
On the other hand, if the players comes up with a plausible way to survive a situation, and makes the required skill or POW saving rolls, then you really should let him survive. I once had a character who killed a monster -- a giant combination armadillo-wolf -- and then burrowed into its innards and hid inside the dead monster for hours to avoid innumerable others that were wandering around. It worked, too, and that character survived that particular trap, only to die later when caught out in the open by an aerial attack. He was happy to survive the first time, and I had no gripes when he died later because the GM was absolutely fair about it. If he had been smart enough, he wouldn't have been caught in the open.