Actually :
- You do not die
- You keep you character
- You keep your current deck, including the boons you got (acquired or drawn from the box when told to) during the scenario (but you'll anyway have to reduce your deck to the allowed content before the next game as per the rule - which is the same number of cards by type that you started with, so you may end up having replaced a boon by another one of the same type)
What you don't do is:
- Gain the reward written on the scenario card (so you don't get to win feats or loots for example when you fail a scenario)
- Trade with a trader (so you don't get to improve your deck before the next game, except for what was explained before)
- Gain access to the "next" scenario (unless the adventure card tells you that a bunch of scenarios can be played in any order, in which case obviously you can try a new one... but you won't go further (especially in the next adventure, until you've retried and won that scenario).
Adding to the "What you don't do":
- If you are playing Skulls and Shackles, you don't get the Plunder cards stashed