Mortality is a tricky thing, especially in videogames. On the one hand, no one wants to go back to the Dark Ages of arcade games with an arbitrary number of lives between you and having to start the whole game over again, on the other having no consequences at all makes death trivial. Punishing players for dying is rarely a good idea, it'll just make them more frustrated for having 'failed' and one of the strongest elements videogames have going for them is allowing the player to try out different problem solving strategies with little consequence for failure. Still, having the player just spring back to life with no comment on it potentially robs all the drama from the moment, so as a happy compromise between these two extremes, here are a bunch of interesting mechanics you could implement to give death more weight without unduly punishing the player.
One Time Mentions
Hey, Didn't You Die?- Have an in game character remark on remembering a particular instance of the players death. Spectacular deaths involving spike pits, vats of acid, or acting silly around grenades can be monitored by a few simple lines of code to trigger optional dialogue.
Example: Supposing a game in which you play as a member of an elite military unit or multinational counter-terrorism squad who has a home base of some kind, it wouldn't be too far fetched your base would have holding cells you could visit. Late in the game you could have a surviving low level enemy mook, dressed in the same standard character model as the enemies in the first mission, locked up in the interrogation pen comment on how you fell into the elaborate death trap set up by the first levels end boss.
Mook Red Shirt: Hey, weren't you the guy who fell in the eviscerator pit? I remember because I had to clear your severed head out of the blood collection pan and you were wearing the same stupid sunglasses as before.
As an added bonus, if the player totally avoided the death trap like a pro, have the mook complement him for it, or otherwise remark on how awesome he is.
Mook Red Shirt: Oh man, you made it out of the murder room without even a scratch! I've seen that thing take out an entire UN attack squad no sweat, you're the first person I've seen walk through that room and live.
Bring Out Your Dead- Occasionally games like to unnerve the player with little trips to unpleasant places like the morgue or the graveyard. If the tone of the game isn't too serious, why not lighten the mood a bit by having a corpse out for autopsy bearing a striking resemblance to the character with wounds similar to that they themselves incurred, or have a grave marker which reads, "Here lies [Insert Player Name Here] died from wounds inflicted by a plasma grenade." Anything you can do to suggest that the players body doesn't just disappear after they restart from the last check point will cause at least some emotional connection to their players life, even if it's just an amused chuckle.
Example: Have a boss fight with a mad scientist or necromancer where the player is bound to die a couple of times? Write a subroutine to keep track of how many times they died in the fight, then after the player has had a chance to heal up after the fight and is leaving the bosses area have a corpse locker or crypt door swing open and have undead enemy versions of the player equal in number to how any times they died in the fight come pouring out for a fight. The implication will be that the scientist kept the bodies and experimented on them, then released them after his death as a form of revenge. The fight shouldn't be too challenging after the tough boss fight, but having to fight undead versions of yourself will make that boss all the more memorable.
More Complex
We Have Reserves- Most heroes in first person shooters are faceless nobodies, this is especially true in games depicting open warfare, especially in the historical sense of World War II or Vietnam. Why bother assigning the player one personality in particular when you can just assume his newly respawned soldier is another member of his company? It might make the dreadful human toll have all the more impact if one of the men pointlessly slaughtered over some God forsaken patch of dirt is the player character himself and for extra pathos leave the players corpse where it fell for the next wave of troops to see.
Example: If you wanted add an extra cost for death you could have players "pushed back" in a game based on historical conflicts and have to make up the ground in their next life. To prevent the penalty of dying from snowballing out of control, assume that the player characters replacements are from father back in the line, meaning they're better rested, (i.e more health) and closer to their supply lines, (better armed and probably with more AI allies) as well as better position with fortifications and weapon placements, while their enemies are fatigued from their push and easier to kill, at least for awhile. If they lose all their territory it's game over, but they should have enough fall back points to give them plenty of chance to swing the fight back in their favor. However if you decide to use this make sure the combat in the game is dynamic enough not to get stale fighting over the same areas over and over again, or provide multiple different routes through the same area and assume allied forces along the flank are keeping pace.
Death Row- Many games have a sequence where the player is captured and somehow imprisoned, rather than inflicting the player with cutscene incompetence why not just jump to the prison section when the player "dies" in the area before it? They can't really say the game cheated them if they really did eat a face full of lead on the way there. With careful programming and planning you could have the player miss a trip to the brig if they're careful enough.
Example: The player is some matter of suave super-spy easily breezing his way through any enemy compound, then disaster strikes! One of the enemies top agents arrives at the scene with a fresh contingent of elite troops in tow and starts coordinating the enemies defenses. Under more effective direction, the enemies now employ cunning traps, your adversaries intimidating presence encourages enemies that would normally shy away from a fight with the player to attack en masse or face his wrath, and the elite soldiers are probably going to be a real challenge too. If all else fails, the enemy agent will take the player one on one, but has orders to take him in alive for interrogation. If at any point after the enemy agent arrives the player dies, just jump right into the prison level.
The player will probably be taken by surprise by the sudden increase in difficulty and players generally don't beat boss battles on the first try, so you can bet on the first play through they will get captured. Make the enemy agent who captured them in the previous level the boss fight in the prison will make it more personal. On further playthroughs players can challenge themselves to make it through the previous level without getting caught, let them progress to the level beyond the prison, they earned it.
Core Mechanic
A Crack Squad of Elite Soldiers- Similar to the example above, framing the action as the mission of an elite military unit with a set amount of members, the number of soldiers left in the squad is equivalent to the number of lives the player has left. There are several ways you could handle the members death depending on how much of a consequence you want to have their death to have, you could recruit more members between or during missions, you could set a hard cap on how many men are in the unit and when they are dead it's a game over, or you could just send in B Squad when A Squad is wiped out.
The best way to implement squads is to have each member attempting to achieve one particular objective at any given time, if you relied on other squad members for fire support or the like dying would make things harder as you would lose your support characters as well. Each mission would be split up into one big primary objective and several smaller secondary objectives that aren't necessary to complete the level, but make achieving the primary objective easier or somehow rewards the player for achieving them. This structure gives the player the choice of gambling the lives of their squad members on the secondary objectives, or making a run at a more difficult primary objective, but with more squad members to back you up if you die in the attempt.
Example: A crack team of mercenaries is dispatched to eliminate the El Generalisimo of some banana republic by the CIA. They can attempt to bribe his chief of security to leave a hole in the patrols, sabotage the alarms to prevent reinforcements and eliminate the special forces before hand, or just storm his complex guns blazing and hope they don't take too many casualties.
Tug of War- There have always been important plot items in games, some glowing green rock that'll solve the plot or some evil artifact to destroy. To drive the plot, the bad guys want whatever this thing is and constantly attack the player to get it, but in most games they never succeed in taking it, or only get it after some last second betrayal in a cutscene which makes them look incompetent or like cheaters. Why not be fair and let them have it every once in awhile?
In a tug of war level or possibly game, the player starts in the middle of the map and tries to bring the artifact back to a certain location while the enemy tries to bring it to a different location in the other direction. Every time the player dies, the enemies pick it up and the player has to kill a well guarded enemy to get it back as he travels away from the players goal. This gives the player a chance to change his play style from defense to attack and see more of the map. The player could try out different strategies, sneak ahead of his rivals and lay an ambush, search the terrain of alternate ways around choke points, or temporarily give ground to avoid being over run by the enemy and losing the objective.
There are tons of other ways to play around with death, but having it have consequences is a great way to make your game stand out.
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