Player 1 - “What... wait... I don't have that many.”
Player 2 - “Don't worry man we'll avenge you, the rest of us will take him out in your name.”
GM - “Yeah I'm sorry but that does mean you have died from the attack.”
Player 1 - “But I loved this character!”
Player 3 - “That sucks man but we'll make sure you are honored for your sacrifice afterwards. Besides I'm sure your new character will be just as good.”
Player 1 - “I don't want a new character. I want this one. Can't you just say he's knocked out or something?”
GM - “I told you when we started this character death is final and we are going by the rules, it's more smash mouth, you said you liked the idea.”
Player 1 - “Yeah but that was before my character died!”
It's how you handle it when this happens that is important.
First off, suck it up buttercup, shit happens and don't cry about it. That is part of the risk, the excitement and suspense of a lot of roleplaying games. You just never know if you will make it or not. It is what keeps people from going completely gonzo in the middle of a game and throwing away all caution. If you can't die then what the hell do you need to follow the rules for. Knowing that you can lose that character keeps you from walking up to the Ork King at level one and flicking him in the nose.
Second off, everyone else has probably lost a character before also. Stop acting like the unique snowflake you think you are. Nobody singled you out (except for maybe yourself by your choices) and there is likely no conspiracy among players and the GM against you (if there is then find another group). Sometimes you just don't rescue the princess and end up in a bloody pool. Look around at other gamers they'll tell you some of the same stories of how their characters died.
Third, use the opportunity to make a newer improved character. All the character generation choices you messed up on, the skills you wish you had, all that sort of stuff. Now is your chance to make a better character, or at least one that is just as good. Something new is also part of the excitement of roleplaying.
Fourth and finally, now you have a story to tell. “Remember that time my thief died while trying to sneak up behind the Magic User? That was so messed up!”.