Firstly, there are worse things imaginable.
http://en.wikipedia.org/wiki/List_of_unusual_deathsSecondly, the oft expressed mantra of "It's only a game" does only go so far, but its important to realize the special type of game. This is a pen and paper "roleplaying" game. This is not a first person shooter, or a round of Contra, or Ninja Gaiden. When a character dies, the story does not go to "Game Over." Especially in D&D where death is not always permanent. A group must decide when it starts the game how character death is handled.
In two campaigns I have played in, the characters were either a group of "Chosen Ones" or one character was the "Chosen One." Then, through players leaving and characters failing saves vs. deadly nasty stuff, the plot felt apart because it all hinged on one character. Typically getting killed in "chump" fashion (Invisible Ogre Magi w/ Cone of Cold in the parlor).
Yes, no one envisions their burly character, strong of will and mighty in their martial prowess, is going to get blindsided and dropped. They also don't envision their character getting poisoned, caught in a collapsing building, landing in a pool or water while wearing full plate armor, or failing a save against a gelatinous cube while the rest of the party is in another room. Shit happens, and a new character is right around the corner ("O, hi Mark II" "O, hi party who I have just met.")
"If you can't take a little bloody nose, maybe you oughtta go back home and crawl under your bed. It's not safe out here. It's wondrous, with treasures to satiate desires both subtle and gross; but it's not for the timid." - Q, Star Trek:TNG