I like a good mix of physical and emotional pain myself, haha.
All of my characters usually end up walking away from their adventures with at least a couple of scars, maybe a broken bone or two. Depending on the tone of the story, it's possible they might end up dead, though I'll admit that's rare for me. I often give my characters injuries that they can't recover from, or will leave a visible scar. They have to suffer for their goals, and their goals have to come at a cost. Most of the time, anyway. I guess it really depends on the tone and themes of the story, like I said above. Sometimes you just want a nice happily ever after where the characters may suffer, may face serious challenges, but they win in the end in a satisfying way. And sometimes, Luke has to lose a hand. Though admittedly he got it replaced by a perfect robotic replacement, so it's not like it really impacted him that much, but you get my point.
In a big novel I'm working on, I really put one character in particular through the ringer. He gets choked out, attacked by a dog, rips his own skin off with his bare hands, his head smashed onto a brick wall, he gets shouts about four times, he gets poisoned by silver and has to have it purged from his body he almost gets his soul sucked out twice, he gets his nose broken by his own brother, he gets a nasty magical shock, several of his molars get cracked, and he ends up losing his hand at the end of the novel.
It's fantasy and he has healing powers, so several of these things are just minor annoyances, but quite a few cause some lasting damage. Plus he's slowly falling to pieces because of his magic that he isn't supposed to have, so he's going to die in the final book of the trilogy.
Another character dies in the first book of the trilogy, but she gets brought back in the second, so I guess that hardly counts.