The way that our group has run in the past, and this is likely my own fault, is that there was this implicit rule: unless you wanted your character to, or unless you fucked up somehow, you didn't die - despite what the dice may say. In hunter this has led to many adventures where our characters get by just fine, and where the threat of death seems unrealistic so long as we take the time to plan our actions and go into any situation as prepared as we can be.
This kind of play has kept us, at least slightly, at odds with the darker themes that hunter wants the player to experience. Last night during the story I ran I don't think I changed that, but I did the next best thing: I killed my own character. I really liked playing him, and I thought he contributed well enough to the group, but I felt it was long overdue for someone to die; to drive home the brutality inherent in maintaining The Vigil. The players' group was helping another hunter who's cell had just been killed by a pack of werewolves. They hunted those same werewolves down. This happened quickly so maybe no one had time to think about it, but no one mentioned the possibility of death or the danger involved in fighting three werewolves that just took down the bulk of a strongly armed hunter cell.
I tried to make the death savage and fast. One of the werewolves took a huge chunk of my character's torso out, and another bit him in the neck (while still in human form). The loss of blood came on so fast that he didn't even get the chance to speak any last words. I get the impression that the reality of this didn't hit the player's until after much damage had already been done. This was somewhat intentional though: I had my character act as comic relief twice earlier in the session - once even as the fight began - to try and catch everyone off guard. I think this worked, and the fight itself - I'm guessing - at first probably came across as just another fight. But that's what I wanted it to be. There's no reason why a hunter wouldn't die in any fight with supernatural beings. These werewolves weren't big antagonists or especially gifted, but they were still something that ought to be terrifying and able to rip apart mortals.
Thematically, I believe this is appropriate for Hunter, and probably the World of Darkness in general. For other games, Exalted, realism is less required, and it's probably only a "boss" fight that a character death would be thematically appropriate. Overall, I believe I killed my character off for the greater good of our episodic hunter chronicle.