(a) Loss of some accumulated value. Be it gear, money, experience, points, what have you.
(b) Loss of time. Corpse run, restart at a save point, etc.
(c) Temporary reduction of character strength.
(d) Loss of real world money. (Insert coin to continue)
Later, Azuriel, in a comment, proposed (e) embarrassment as yet another option. I think that's a very creative idea. Has any larger MMORPG actually ever tried that?
I want to add two:
(f) symbolic punishment, like very small gold fees.
(g) To end the current adventure without encouraging the player to immediately start another try. This requires some extra work to shape a player mentality, otherwise it becomes a loss-of-time.
(h) (temporarily) restricted access to content
(j) Loss of in-game social contacts. Very innovative.
A few more from myself:
(k) Your NPC enemies grow stronger
(l) Your guild/social group suffers
(m) Your in-game adversaries (players) are rewarded