One of the main points in video games for me is the excitement and fear of failing. For example, System Shock 2 and Jagged Alliance 2 were both really good games for me, because they punished the player for too many saves (by adjusting the amount of stuff the enemies left behind). The constant fear that I have to play the whole stage again if I die makes the winning also much more satisfying. Another thing is that when you play the stage again, you can do everything better than the last time and feel more advanced. That is the case in the Mega Man series. Of course this means that the stages must have replay value (which was not the case in the last boss of Shadow of Colossus).