It was best said when an above poster said, "I'm not trying to WIN THE GAME" and that it is about the story. As a gm imams it a point to create the story. Encounters mean something and so does a group of PCs working together to overcome it. If you don't fear death in the game then you are missing out on the best feeling of getting the killing shot on a great beast who in one more round would have killed you or your companions.
Should the GM try and kill you? No. It shouldn't be his goal. But why should you be able to get a lucky roll, one shot the "boss" and the boss doesn't have the same chance? After all your GM spent a long time preparing and establishing tactics. But I don't think a creature should run up to the fighter and cast disintegrate over and over.
To add some suspense to my grouping also implemented coupons. For those who played hack master know what these are. I use them much like hero points, but they gain the by things done out of game. I agree with the OP that while it is fun to say you failed your save and died, the coupons represent mulligans on all things but fumbles and crit confirms. So they can reroll a save, but before they know what happens.
TL;DR it should be fun for the PCs and the GM.
