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SWORDF1SH said:

Most games have auto save which saves every 10 seconds. I miss the days when you died it meant that you had to replay the last half hour of the game.

In that case, make sure the game has an autosave, Dishonered doesn't save very often for example.
(And Skyrims auto save caused the game to crash or hang on ps3 but that's a different story)