“I understand your feelings...I never thought there would actually
be such a dream item. «Nicholas’s bag contains a legendary item that
can bring the dead back to life.» ...but...like most people, I think that
was just a lie. Or rather than call it a lie, I mean it might be a left over
speech for NPCs for when SAO was just an ordinary VRMMO...that is,
originally, this item would have revived people without the conditions
of the «Death Penalty». But, the SAO now has no such thing. There is
only one penalty, and that is the player’s life. I don’t want to recall that
event, but this was said first day on the clearing by that Kayaba fellow.”
from the chapter Red-nosed Reindeer of the second volume
It seems that there was some kind of penalty for dying. This might have been a similar one as in ALO, considering that it was based on a copy of the SAO server, i.e. the loss of some skill levels.
Another consequence of dying was that the player respawned at the starting town.
I must have died at least 100 times during the two months of beta
testing. I had re-spawned with a slightly embarrassed smile on my face
in the palace north of the main plaza, the «Black Iron Palace», and ran
off into the hunting grounds again.
from chapter 3 of the first volume