Why is everyone focused on a Death Penalty, so if you die you lose something SP, durability and so on. Why don't we look at it from a different angle, lets consider a bonus for not dying and actually staying alive.
Rentahamster deserves full credit for this and the OP can be found here:
CLICKY
It basically describes a system where you gain ranks, bonuses and buffs for staying alive. So as you earn SP it is also being added up in the background to give ranks for not dying.
So for every 20k SP you earn without dying you gain a No Death Rank (still needs a name ^^) and can select a bonus. There are 5 ranks so to hit the top rank you would need 100k SP without dying.
With this idea you are only losing an additional bonus you could have so it doesn't seem as harsh as something like losing SP, but it still provides a good reason not to die.