lvl 20 Alliance Rogue quest right? I remember something similar like that. But, you're right; without risk, the accomplishments aren't meaningful.
It's a fine line because even being the type of gamers we all are, do we really want ridiculous death penalties at the end of the day? Risk, yes. Danger, yes. Several hours sunk into a CR or grind to make up the loss? Not sure. We all (most) have full time jobs and/or families.
Some Corpse Runs were..... HELL.
Not only did you lose XP and no Cleric around to rez you... it was almost impossible to get your corpse back. Group abandons you and you're SOL and JWF (Shit Out of Lock and Jolly Well Fucked).
What you can do is make an inconvenience (CR) and then give 25% of the classes in the game to over come this. Say you have 12 class in the game at least 3 (or 4) can pull your corpse to you. This will increase player-to-player interdependency and creates community.
So, if you make 25% of classes can rez and 25% of classes can summon corpse it won't be that bad. Problem with EQ is that you have only ONE rezzer (two if you count the paladin) and you have a few Corpse Summoners and add to that you have one class (at certain point) that can actually heal.
I think if you distribute skills that can over come such inconveniences or harshness of the world to different/multiple classes but each one has its own unique way then you'd create interesting interactions, keep the thrill AND give the player bigger chance to overcome them.
For instance:
Cleric can rez a corpse with 95% XP recovery
Shaman can turn you into a ghost so you can go and grab your corpse
Druid can teleport you (or you and your group) to your corpse with a 30% XP recovery and Mana Regen buff (he can do it once every hour)
Witch can put all your items you lost in your inventory (no need to CR) but without XP recovery and sickness that lasts 1 hour.
Necromancer, of course, can summon your corpse
These kind of "skills" I call them "community skills", just like teleportation. They also MUST be "unique" on how they work for ever class but they also should "cover" a world's inconvenience.. Whether it's death, traveling, or losing a corpse.