In playing WFRP, 3rd for just over a year now (average 2-2.5 sessions per month) I've played the following:
Human scout (retired due to starting a new campaign)
Sigmarite priest (received a coma during combat, hidden by party in a tomb, then lost forever after TPK)
Human navigator (severly wounded in combat then subsequently died when team-mate rolled multiple chaos stars in a healing attempt)
Human dockhand (killed by swamp-zombies)
Dwarf ratcatcher (current character)
Some observations from my frequent character turnover:
1. Using the "roll three/pick one" style of chargen really got me out of my "I always play the Ranger" mentality. High turnover reduces this mindset even more.
2. I've been exposed to trying various types of characters which has been an interesting experience. The character I min/maxed and made the most combat-oriented, the Sigmarite priest, ended up being the least interesting. I thought the dockhand would not be that great a character but I ended up really enjoying him and probably lament his loss the most (poor Jurgen!).
3. My GM requires players have a backup character ready and so that means I already am familiar with a given character-type's advantages and disadvantages before bringing them into play. While using the dockhand I was already thinking how neat the ratcatcher would be. Now playing the ratcatcher I love him. My current backup is a human knight. The dynamics of our party will change immensely and it will be fun to roleplay when the degenerate, clan-less dwarf with rat-fur cloak and questionable body habits is replaced with an arrogant, wealthy, upper-crust knight of the realm! The expectation of using my "next" character helps ameliorate the loss of my current character.
4. Answering the "10 Questions" for characters really helps me to establish motivations, background, and quirks and helps facilitate roleplaying. Doing this at least five times has forced me to look at/become familiar with a lot of the Empire fluff, thus making me a better "in game" roleplayer.
Finally let me say my GM (Emirikol) is fun, fair, and firm and does not go (especially) out of his way to kill the PCs. We players do enough stupid things to put ourselves in harm's way. So he pretty much lets the dice speak for themselves in that regard. Please note I have not intentionally tried to lose a character although I probably play in a "heroic" fashion that may be foolhardy in the Warhammer world. So although I still get that sense of loss and disappointment when I lose a character it isn't nearly as crippling in-game or out of game as when I've lost a character that I've played for years.
Have others had a similar experience?