I just love the aspect where if a character dies you lose them for good. It makes even standard supply runs feel so much more intense.
The first time I played it I had a character super leveled up in almost every category, he was a real zombie slayer. My own stupidity caused me to get into a situation I couldn't get out of and got him killed. It raises the tension like 10-fold when there are actual consequences for being stupid.
Definitely, and for that reason, it's one of the more intense games I've ever played. I got the "main" character killed early on in my first runthrough unfortunately, but at least I had a few other characters that were capable all game.
The Fire Emblem series also has the perma-death feature, but in Awakening (the only one I've played), I just found myself leveling up the same characters the whole time, so every character was either never really in danger or completely disposable. I feel like SoD was at least a little better in that regard.