One of the most interesting times in the life of a player character is the occasion of his death. Think of the stories you can tell! After all, there are three distinct activities that go into playing. There is prep time; there is table time; and then there is the interminate period after a good adventure that lives forever in the retelling.
So that's the first and most important point: a character death makes for a great story!
The central bargain of D&D is to risk your man's life in exchange for riches; to cheat Fate. Everything else is knuckleballs and sliders. But the four-seam fastball of D&D is: life and limb versus fame and fortune. If you want to focus on something else, play a different kind of game in a different genre (totally cool by the way.) If character death isn't lurking behind the next door, then you're missing a lot of the tension and therefore fun of D. And if the threat is realistic and credible, then people (and specifically PCs) are going to die.
So that's the second point: credible danger leads to incredible thrills.
Finally, if men are dropping left and right, if you are losing henchmen and even teammates almost every session, then it follows that making it to mid-levels is a good accomplishment! If you go into a low-lethality campaign, you can plan to be level 10-12-14 some day. You just have to show up. But in a high-lethality campaign, actually becoming a Hero (level 4) is a great accomplishment! You might even decide to retire you man as a successful former adventurer somewhere in that range, hanging his Axe +2 over the mantle of his beautiful county house.
So that's the third point: higher lethality makes earning accomplishments bigger.
So revel in character death. The final chapter of you man's life will be his finest hour.
P.S. - this is a fantasy world. Death doesn't have to be the end of the story...!