The final breath of a PC when she meets the cold edge of a blade, all those experience points slashed out of existence like her sloshing innards, is a frustrating time for any player who has put time into carving their character into their own intricate awesome vision.
If the player hasn't already thrust the dice across the room in rage and stormed out, they are either rolling up a new level one or pleading the GM to find a way to resurrect Mindy Bloodletter. Unfortunately, giving in to the player isn't fun and it fails to progress the story, but a friendship could be wire-thin at this time; so what to do?
It is possible to allow the player to keep their PC without totally bending time and space to the GM's whim, no matter how sumptuously fun that can be. It's not all that far-fetched in a world of fantasy that the player's soul has been sucked into a hell dimension where they will have to fight their way into the land oft he living or be caged for eternity in a molten chamber. The GM could set up a separate dungeon for the character, though it would have to be small as to not consume game time for other players, possibly with only one or two ferocious enemies to slay. Or perhaps a quicker way could be to pass a saving throw as a test of will, a success allowing the character to return to life with minimal health, and a fail denoting her fall into the dark oblivion forever. To make the test more fun, after a successful roll the GM could describe the epic fight against the swarming demons, the slaughter of devils and banshees and a description of the hellish domain the character escaped. This tale could serve to develop the character further as well as the story.