More often than not, in the Darkest Dungeon, you will find yourself at death's door. This is a mechanic that ensures that your character does not die if they are reduced to 0HP.
Instead, they'll linger, moaning, and vulnerable, until a deathblow comes along and puts them out of their misery.
In the interim, while this is all going on - you have a choice - save them, or watch them die. There's another option - to retreat back out of the dungeon, which can pretty much be done at any time, but it carries a heavy burden, especially if you're poor in terms of gold, as equipping adventurers appropriately costs a fair bit.
This video shows a lot of Death's Door, and as my heroes stress level increases, so does mine. It's been a while since the last hero death in the game, could there be another one brewing?