Found one: Torchlight!

Any others?

The Witcher 2

Offending a forumite that's actually a serial killer. I'll second that. It's also a great game.

Sunless Sea has a 'merciful' play mode in which it is possible to use manual saves. Otherwise, you can play the 'unforgiven mode' in which death is final, however, you can create a will in the game, which allows you to pass on properties and weapons to your next of kin, i.e. the next character you play.

<span class="bold">Darksiders 2</span>. Completing the game on Apocalyptic difficulty will unlock the "Nightmare Mode", where being killed even once, will send you back to the beginning of the game.

another one : Sacred 2 (hardcore difficulty) -> if your avatar dies once , it's for good .P

Giana Sisters: Twisted Dreams has an optional permadeath mode.

Terraria
Torchlight 2

Pillars of Eternity has a Trial of Iron mode that wipes your save if you die, much like the Witcher 2's Insane mode.

Not a GOG game.

<span class="bold">Depths of Peril</span>, <span class="bold">Din's Curse</span> and <span class="bold">Drox Operative</span> also have a Hardcore mode, which will wipe your character upon death.

<span class="bold">Wizardry 8</span> has an Iron Man Mode, which will wipe your save if your whole party dies.

Ooops.

It will be.

Gothic .

All of them, just delete the saves if you die.