Also, shameless plug... if you play MMOs or permadeath games, please consider taking my survey for my dissertation! (I'm doing a study on place attachment in MMOs and motivations for playing permadeath game modes.)
These are some games my group came up with by Googling for our preliminary research. Not all of them are necessarily permadeath in their base game, but they offer permadeath modes. In Dungeons and Dragons Online, there are some guilds that have permadeath requirements for their members.
Faster than light
X-COM: Enemy Unknown
The binding of Issac
Diablo II & III