It depends how it happened. If it was due to your doing something silly like jumping off a cliff, you will be "dead", but can come back straight away completely intact. If, however, you died because your stamina went to 0 or less, eg. in a fight (but there are other ways it can happen!), then you will be "dead dead" and your persona will be completely erased from the records. Even the name will disappear. This is often a heart-rending occurrence, and can take some getting over, but other players are usually sympathetic and will do their best to cheer you up.

Expect to be killed, especially when you are exploring. You have three personae which you can use, ie. three different characters. Most players keep one for "serious play" and use the others for fun and exploring, since it doesn't really matter if these get bumped off by The Land's creatures or other players.