Each character has a limited amount of Hit Points and when their Hit Points drop to zero, due to damage through weapon attacks, poison or other harmful effects, will die and return to the temple in their hometown. HP is the common abbreviation for Hit Points.
The amount of hitpoints you lose is affected by the amount of armor you are wearing. If the stats on the armor are high and you are wearing a full set, you will not lose as much damage as if you were just wearing a weak helmet. Different monsters do different amounts of damage to your HP. Rats can do around 10 damage while demons can do over 750 at a time. If your hitpoints are low you shouldn't go fighting, heal yourself or eat something to restore your health instead.