The Spirit Healer, as has been mentioned before, hands you a reason for this one: "It is not yet your time." For a living character who dies, the rationale is that the world will allow them to be resurrected because there's still more for them to do before they go on to their eternal reward. (For an undead, I suppose the rationale is that they were *supposed* to go on to their eternal reward and sidestepped it somehow, so the world doesn't quite know how to deal with them. :)

Special deaths, by contrast, like the Plague, or Arthas killing Terenas, have the force of Plot behind them. To someone killed by the Plague, this is the end of their story; there's no more for them to do in the world of the living. Anything left unfinished is meant to be that way, at least as far as they're concerned. (It might be someone else's task to finish it...) And that explains why so many NPCs fear death - for them, any death could be the final death that takes them out of the world permanently. A PC could react the same way - or could assume that there's some guiding force that will keep them going. ;)