I'm pretty sure I soft locked my New Vegas save a good few years ago, or at least locked myself out of the ending I wanted. I was going for the Yes-Man ending, but I wanted to let House upgrade the robots first. I let him do it and then killed him to get the platinum chip back, but turns out he didn't have it on him. Without any way to give the chip to Yes-Man, I was SoL. I think you can still complete the game with a couple other factions, but I know for sure that I already pissed The Legion off so I don't know how many options are left. Maybe I'll dig up that save somehow and try again.

Also, In the original Thief games (Thief: The Dark Project, Thief: Gold, and Thief 2), there was a brief fadeout period between dying and getting kicked to the game over screen. This death state didn't lock the controls, so you could still move around, interact with objects, and, critically, quicksave. If you happened to quicksave at the moment of your death, there was nothing you could do to get out of dying. There was only one quicksave slot and no autosaves, so if you weren't manually saving every now and then, you had to start the entire game over. Learned to make occasional checkpoint saves the hard way.

The death mechanic did lead to at least one hilarious fan mission where you had to get through a door and complete the mission after falling to your death.