“The art of dying.
Dying is a skill that represents the variety of unique ways in which a character has died. The skill unlocks small, but permanent bonuses to Max Health. It also gives access to a very useful ability, therefore it is actually a good idea for new players to try to get their characters killed in a variety of situations.
Bonus Experience
The first time your character dies in a unique way rewards bonus death experience. To see a list of the unique ways in which you've died previously (and how many times each), go to Skills panel > Dying and select the button there.
“(Earned 50 Death XP)
(Bonus XP! First Death From This Cause!)
New ability
As the Dying skill increases eventually a very useful ability is gained. When your character dies a new choice will appear in the Death dialog, to "Enter the light". This new ability is essentially the equivalent of a teleport to Serbule Keep, which can be very handy when exploring the other maps.
Examples of common causes of death
Here are a few spoiler-free examples of causes of death: