Killing your first PC is one of those things I've seen around as a GM Milestone, the First Time of game mastering. It's something that in all the games, I've never actually done.
Part of this is completely unintentional. Those who have played in my campaigns are aware that because I am open and honest with my rolls, my games are essentially easy mode. I have shit for luck.
"Alright, player is out, standing in the open, there's a flying guard that everyone failed their checks to spot, if he can make the basic vision check, all the stealth goes out the *CRIT FAIL* ....... You continue on your way, no alarms or other signals of being seen to be heard or seen."
"Yes, player got forced from cover by an explosion, can't even dodge because laying down in the middle of the street, and now for machine gun of *CRIT FAIL* ............. a whole lot of whiff."
And so on. The only reliable thing in my campaigns tends to be that the opposition will fail hilariously badly at the most convenient possible times, and it's right there in the dice for all to see, not GM fiat.
However, I'm enough of a GM and player to be able to build around this. I can build situations dangerous and deadly enough to get past... but I often haven't wanted to. Much of my GMing has, to this point, involved a lot of newer players, and players new to GURPS. If I kill their character, it may be a month before they manage to build a new one, no matter how much browbeating and assistance I use to help speed them along.
GURPS Metro may finally change that, because I don't plan to pull my punches. I will try to keep things realistic and as fair as they can realistically be, but I'm expecting my players to learn, adapt, and improvise. They may not all survive the experience.