|Ash thinks she's safe and secure, but evil can lurk from above.|
Such evil goes by the common name "Tobby".
I'll admit that I rarely think about my PC dying. Not because I want to avoid the thought, but because the idea of my PC failing to survive is rarely part of the equation.
It's much like being a teenager or young adult. "That shit will never happen to me!"
Actually, it's much like law enforcement. You put aside fears (and smart thoughts like "self preservation") and get the job done. You deal with the fears afterwards.
Of course, that's all an illusion, even if it's one created by you for your own benefit. It's useful though.
In game, I think it's important to remind PCs (and their players) of their relative vulnerability. If the players discuss running instead of engaging (even if they do engage 90% of the time after having said discussion) when things look horribly tough, you as the DM are doing something right. If your players always run head long into each fight, never thinking twice, never considering escape, you need to remind them of their vulnerability. Sometimes all it takes is a single PC to die to make it real (in the context of the game, of course.)
A little fear goes a long way...