When You Die, You Go Back to the Beginning.

[Kriven]

It depends on the complexity and difficulty of the game. For games which are very complex and require a lot of thought and skill, I dislike this style of punishment. The difficulty of games like Mega Man are punishment enough, there's no reason to set the player back at the beginning. Whereas, I feel it works well for Super Mario Bros., where you can reach any stage in about a minute if you know what you're doing.