Twilight of the Gods
In Norse culture, surrendering is very rare and a deeply shameful thing. (This is also often true of gaming groups, but that’s another issue) What this means in game is that a PC may choose an honorable death in battle over the dishonor of surrendering and being captured.
This is fine with me. To encourage this, or to remove the discouragement, a character who dies gloriously in battle during the Twilight of the Gods is taken up by the Valkyries to Valhalla. If they wish, they can return to the world with no level or xp loss. They will have a new type, Honored Dead that will modify their race and change some of their attributes. The character will technically be undead – he or she can no longer have children, etc. Obviously, this brings some advantages and some disadvantages.
The other option is for the player to return with another character, another hero who has risen up in humanity’s time of need. Again, no xp loss for the new character, though his or her starting wealth will be less than the previous character, who had more time to accumulate riches.