My players lose to the monsters.
Sad Ed, a 6th-level bard with a nuclear guitar, an electric generator, and a blindheim in a hooded lantern, was killed by a Green Knight in the Tower of Violets. They opened the door, saw the two knights, said, 'Oh, shit,' and ran, but the knights caught up. The one with the ball-and-chain made a bouncing attack against everyone within reach, dealt like 20 damage to Sad Ed, and put his brains on the wall.
Neil, 4th-level Paladin of Belm, was killed by the wizard Palethorp. They opened the door the ritual chamber, got off a few shots at Palethorp, and then he cast circle of death. "Okay, so, a black pellet flies from his mouth and lands on the floor at your feet. Smoke rises from it and enters each of your nostrils. Everyone make a Fortitude save, you need an 18 or higher." They had a hefty bonus from a scroll of death ward, but Neil failed and suffocated.
Before that they were exploring an underground temple to Tsathoggua, God of Frogs. They poked around, slew some alchemists and their giant lobster, charmed the fractal frog, rescued a couple captives, freed a couple fat devils, and when they learned that not only was the actual living god down there, but also their vampire nemesis, said, "Nope," and left. I count that as losing.
And they were in the underground temple in the first place because they were attacked by a group of regenerating skeletons and their moss hog, and couldn't find a way to deal with the skeletons, so fled through the snow-y woods, had the druid ask a flock of crows where to hide, and the crows led them to the hidden stairs into the temple.
They even had a TPK at the hands of the witches Frost and Thorn. Frost was pregnant then and their captive and they were trekking across a swamp to reach the desert valley where roams the Sacred Agony-Beast of Izorides, upon whose lofty back is built the witches' ancient cathedral and home, and within whose heart is kept the Three-Tongued Knife of Queen Marybelle, which was used to slay the Demon Lord Urizen at the beginning of time, the body of which still blights the landscape in the wastes north of Havith Orr, city of goblins. But Thorn, the dead Black Knight Cretched, and a pack of wolves caught up and ripped them to shreds. I was like, 'shit, now what?' So the witches chopped off a finger each (they mutilated their captive the same way) and threw them in a well before a decrepit Fish God. They survived and found their revenge.
Before that they were mostly unstoppable, slaying gangs of bare-chested men, snow-leopard men, vampire monkeys, vampires, white elf bands on limb-gathering excursions, and even a damn manticore back when they were level two or three. So I stopped caring about balance as much and started paying more attention to aesthetics, and I started randomly generating skeleton warbands to roam the woods, and I had Ningauble of the Eyeless Face (yes, the very one, yes I did screw up his name) warn them about the twelfth-level wizard's hefty powers, and I let powerful monsters and demons be totally immune to un-magical weapons, and I'm not sure they even have any of those.
'Your great-sword bounces off the skull as if it struck stone.' 'Okay I cast a spell to pick it up, let's throw it out the window.' Roll, roll. 'The skull falls three hundred feet and lands intact. Dirtface, your body is still possessed by the dead wizard's mind. What do you do?'
The only one of these I felt bad about was Neil's death. His player, Kathryn, hadn't played for a while, maybe three months, and couldn't find her character sheet, so before that session I helped her make a character and kit him out. In the few moments of Neil's life, he was impulsive, cruel, and grabby. I think he might have triggered a trap on purpose just to see what it did. This was very different from Kathryn's previous character, a druid named Shiloh, who was kind enough to her owl animal companion to have a sweater knitted for him when they were in a city.
Nick is a little bit more nervous now. When he saw the dinosaur, he asked, "Does it have wings?" Thomson checks doors for traps and peeks through keyholes. They create diversions, charm ogres and laser-shooting warrior-monks, and are happy to parley with groups of enemies whose powers they aren't sure about. But they also know that their druid can summon a hippogriff and cast flame strike and ice storm, and that the barbarian has nearly a hundred hit-points, and that they are powerful and terrifying at full strength. These days, they're usually not. Life is good.