So I write and I feel like, unless it's done well, killing in stories is overrated. So then I got to thinking and I realized that there are at least 2 or 3 things even worse than just killing the hero.

1. Torturing them to the point they're begging for death.
2. Turn their instinct to survive against them. Think like the YouTube show "Escape the Night," particularly the ring toss challenge in season 1, episode 9.
3. Holding them prisoner and preventing them from dying. Even worse for the damsels would be for the villain to marry them/constantly caress them seductively.

Like, some people see dying as achieving freedom or peace. So if you couldn't die and you had to be stuck with someone who had you as their prisoner, that would probably be terrifying to a lot of people.