But... She managed to get a hit on me that dropped me... dead... 0 health left.
Now my save game was deleted.
It was actually a conscious design decision to almost randomly delete people's save games?
Death is almost impossible when you know what you're doing.
Arena Mode; Some people say don't fight with your Main, although personally I never had a problem and never lost a Main after over 700 hours playing. There are some things to remember though:
1) Buy a Recruit and use that to rank up to whatever, preferably Master. Then buy the absolute best gear for your preferred loadout at each rank and put that on your Main (before you start using the Main properly).
2) Never fight in Inept/Aspirant matches unless you have to (i.e., you're ranking up for the first time with the relevant character). If you really want to minimize risk you could rank up to Novice using Pugs. Even Master rank characters can die in Inept/Aspirant matches.
3) Buy more Recruits and alternate between them (and Hirelings) to keep their health high.
4) If you're using the Main or a Recruit and take more than 50% red damage just hit Escape and Forfeit the match.
Personally at this time my strategy is to use the Main, 3 Recruits, 4 Hirelings and a Merchant. I use a Recruit to get the initial cheap gear, then once I've got a few sets of decent early-rank gear start using Hirelings to farm gold to pay for more expensive gear. If done correctly (with caution, minimizing risk) then death is virtually impossible.
Story Mode; Is somewhat different, but the same basic principles apply. Grab gear before you start getting into dangerous fights. Personally I pretty much run straight to the Armoury on Level 2 to gear up before I even start fighting.
It's been a while, so I may be misremembering this, but I seem to remember (optionally) heading straight to the Armoury on L2, then straight to the Portal at the end of L3 to save the game. Then backtracking to clear areas and grab loot, returning to the Portal periodically to save.
I don't remember if we can only save at the Portal once or multiple times, but either way, once you have a save at the Portal then getting decent gear (i.e., good enough to avoid death) is exceptionally easy.
Of course you might not want to game the system like this, but even so, the principle of gearing up before getting into fights will save you a lot of damage (and death) in the long run.