A lot will depend on the tone of your campaign, but in general I feel that the risk/reward scale should be something reasonably discernible at the time the action is contemplated. There's an example I like to use from one of my own character deaths.
We were playing a Living Campaign module for Legend of the Five Rings, a Japanese inspired fantasy setting. Every other fire-based effect we'd encountered, including magical fire, caused in the neighborhood of 2-3 D10 damage, which is an entirely survivable amount for a healthy character.
I had the opportunity to run through a burning doorway to achieve an objective, so I did. Without any indication that the fire damage in this case would be much more severe (6D10, as it happens). Naturally, I was a little surprised to discover I was incinerated on contact, and thought the GM should have given me a little warning like "as you approach the door, the intense heat of the flames sears the air and makes breathing difficult."
The idea is that an expectation had been formed from previous play. If something is going to deviate from that expectation, I feel the characters deserve the opportunity to understand and evaluate the risk. If you make it clear the risk is high, and they go ahead anyway, then they deserve what they get!