This article lists some good examples of games with "final death".
And IMO, this concept wouldn't work nowadays.
Every character needs that simple convienience of personal time travel machine activated on death...I'm talking about saving/loading, of course.
It worked in 8-bit era where games were mostly incredibly short (but difficult), so you had no choice but to beat them in one sitting, but today no one's gonna make an epic 5-10 hour game with only quicksave for sole purpose of saving so you can finish the game later (that save would be created on game quitting and get erased as soon as you loaded it). It would be too frustrating to beat and nobody would buy it.
If I'd die during final boss fight and would get thrown right into the beginning of the game, I'd probably rage and sell the game off.
If you want to play such game this badly and you don't mind it not being an FPS, play I Wanna Be The Guy on impossible difficulty.
