Pathologic 2, it's a Russian horror game. There are real, permanent repercussions for dying and loading a save won't help you get rid of them. Sadly saying too much is a huge spoiler, but there's actually a storyline that's revealed with each death. Your deaths also affect the physical world.
@chloyster
Not a new game, but I've been replaying Undertale as part of a large randomized multiworld. Every item or big event I unlock turns into a random item or unlock for somebody else's game. And random items in their games are sent to me as random items in mine (or another game). It's called Archipelago, it's really fun and there are games you wouldn't expect to be supported (like The Witness). It's called Archipelago.