Well, to me, what matters is the plot. A player always gets the consequence of his actions. I hand out liberal warnings, which are stuff that his character, a seasoned adventurer, would know. However, I don't pull my punches. If he does something that he knows will get him killed, then I let him die. Now, assuming we're talking about intelligent players, then the answer is easy. My "encounters" are challenging, but not deadly. I tailor them so that they require effort on their behalf to overcome, but that they have several possible ways to be defeated. If the dice decide to be a harsh mistress, then I make the enemies make alternative tactical decisions. Stuff which would be logical for them, but would give the characters a chance to escape or win.
For example, I had a boxer who had disarmed a character who specialised in guns. The guy could've thrown a regular punch, and possibly killed the character, but instead I had the guy aim for his face to disfigure him (the boxer was a sadist, so it made sense), but the reduced damage made it possible for the character to recover his gun and shoot the guy with his last bit of strength. It made for a much better story than just killing him.
To me, it's a matter of pros and cons. If the advantages of killing the character outweight the disadvantages, then I do it. Otherwise, things will happen. Enemies will get overconfident in their victory and change tactics. In short, what matters the most to me is the story. I do whatever benefits it the most.