I think part of the reason why I'm attracted to the rpg's I really love and have played the most (BECMI and 2e AD&D, Cyberpunk 2020, MERP, RuneQuest, early Shadowrun) is Death. That is to say, in those games, it's tough for characters to live through even one adventure or mission - they are fragile entities whose capacity for survival is limited. High level PCs are treasured rarities who you come to have great affection for merely by dint of their luck or toughness.
Thinking about it, I rather like the few computer games I do for the same reasons. ToME, Oolite and Dwarf Fortress have incredibly steep learning curves which result in restart after restart; my list of beginning characters who never got beyond the first dungeon crawl in ToME runs into the hundreds, and even docking a spacecraft in Oolite is a difficult process to master.
Is it a kind of vicarious masochism? Possibly. But I'm more inclined to put it down to respect. BECMI and ToME are proper games who are difficult to master, and rewarding only through effort and luck; they don't mollycoddle and success in them must be earned. You have to appreciate a game like that - it's the difference, I suppose, between Monopoly and The Game of Life. One is an amusing diversion for kids. The other is a fun and interesting activity for all ages.