Prince of Persia (2008) is a game where you can't die. You get a companion, Elika, early on and whenever you are on the verge of dying, she jumps in and rescues you. They even use that mechanic for a little puzzle later in the game where you have to find the real Elika out of a bunch of illusions and the solution is to

All the Wing Commander games featured branching story lines, where things would take different paths depending on if you lost or won a mission. Even if you got yourself killed you still got a funeral cutscene ending your story instead of just a Game Over screen.

Eurofighter Typhoon had an interesting concept where you took controller over multiple pilots at once across a lengthy war campaign. You could switch between them freely at any time, the remaining ones switch to AI when not controlled by you. If one got killed, injured or ended up as POW, you could just switch to another one and continue as usual. The missions you would have to fly were dynamically generated based on how the war progressed and your success and failures. Basically a flightsim with an RTS running underneath, along with story cutscenes for some important moments. The game had some rough spots and arguably EF2000 or Falcon 4 did the dynamic war campaign better, but at least on paper what Typhoon was trying to do was really interesting. Rather sad that 20 years later we still hardly ever see games that do the small scale and large scale simulation at the same time.