The downside is that I am affraid to waste the characters a little too fast, or have to tune so many dice rolls that the players recognize it - it's absolutely bad if the players realize that their GM is protecting them. It's quite an act of balance to let the players feel that they may be killed or crippled by even seemingly little obstacles if they don't watch out (or even if they watch out), but not actually kill or cripple a character - or at least only as often as absolutely necessary to remind them that adventuring is dangerous. Let them definitely know that something terrible might happen at any time, but not actually let it happen...
Like others have mentioned 'fate points' work really well.
Here is how we do that aspect:
Each level, a character gets a 'hero point' (aka 'fate point').
[By doing something 'heroic', it is possible to get gain hero points but even then these come in at 1/3 of a point per such an event. It is also possible to gain hero points for successful conclusion of a story arc. This is why we call them 'hero points' - so the PCs can be heroic.]
A hero point can be spent to reroll any die roll - provided it is done *before* another roll of the effect is implemented.
This way, the PCs have some 'insurance' but also know it is very limited (basically, one time per level you can 'be heroic' or 'change fate').
Do I take that critical hit or reroll the attack?
Do I take that critical hit result or reroll that critical hit?
So far, this has worked really well and all the players have that 'concern of death' or 'fear factor' you mention you want "to let the players feel".
DonMoody