I'm pretty sure devs said you can never lose a level due to death. Though chances are, if you die enough to worry about that, you probably will want to visit a mystic and re-think your skill set choices.
World of Warcraft has no death penalty at all (you simply run back to your corpse as a spirit, and boom, yer off). So that's 6 million people who don't miss having a death penalty.
(though, I'm not a WoW player)