That, in just about every HO game, the protagonist always manages to a avoid being killed by the villain despite few other characters being able to survive a confrontation. She/he always manages to survive being thrown into a cell, well, body of water, etc. And somehow there's always something available to him/her to find and use to escape. Not complaining. I just find it amusing. Of course, if the protagonist was as vulnerable as the average townsfolk the story would soon end.

Just like in the movies! You always know that the star will live!

"Tomb Raider" comes to mind.

On the darkside, characters in RPGS are always getting killed but the player character can recover. For example in the original Guild Wars there are skills to bring other player characters back from the dead, but the plot line requires none player characters to die, and stay dead. And that doesn't make sense given the existence of magic to raise the dead in the game. So in Guild Wars 2 they claim you're not killed your just knocked out. That way they can have NPCs die in the story and it makes sense.

Lead characters in movies (and TV) don't always survive. I think of at least two John Wayne movies in which he dies. The Seven Samurai, Magnificent Seven and Dirty Dozen see most of their number die in combat. In the British science fiction TV series Blakes 7 (1978-1981) the entire main cast died. The bad guys won. Of course this was intended to be a cliffhanger that would be resolved next series/season (the bad guys weapons were probably set to stun) but no next series/season never came.

I know of at least 3 Japanese TV series in which the hero sacrifices himself in the final episode.