I usually aim to play roughly as the developer intended. If that includes permadeath I usually jump at the chance. When a game is designed around the mechanic, it definitely adds a whole new level of risk/reward that when turned off makes the game feel kinda dead. As you say, everything feels more alive when the prospect of death is always just round the corner. Roguelikes are obvious, but I generally always play loot-based aRPGs and grand-strategy on hardcore mode too.
Games like this don't really feel like they were designed with permadeath in mind though, so it's something that I'd maybe try after I know the game very well, but still have a thirst for more.