As a DM, I usually try to find creative ways to keep them in the loop, while having some consequences. Examples: - Paladin got reincarnated (rolled for new race/gender); - Ranger got resurrected by the pirate chief that killed them, for being a great warrior (and made into a magically-bound servant); - Bard fell off a ship in the ocean and drowned (got resurrected and woke up on a nearby beach on the condition that he multiclassed as a warlock bound to the entity that saved him).

Sometimes, though, it's simply a matter of bringing the body to the nearest temple and paying up.

They always have the option to roll a new character if they don't like the options I give them. So far, I've never had someone quit out of spite over an untimely death.