Why die later when you can die now?
a) An active quest
b) The possibility of finding hidden treasure rooms, racks with magical artifacts, libraries with books about the history of the world and various events, the opportunity to influence the plot a little (or a lot).
For this, it's worth enduring and dying a few times.
But what's interesting, what's worth dying for in a random foothill, where a crazy Fuzrodah dropped us? To write "north-west-east-south," roll a die for a collapse and injury, shuffle, repeat? I don't know.