You get one free revival, then every time he dies it gets more expensive to bring him back.  It's not that big a deal if your guy dies though,  you just recruit a new one for a few silver, put all the same equipment on him, and he'll be just as good as your dead guy was.  The only real danger is if he had a really cool perk that you will have to earn again.

I think it's pretty cool actually.  It does a good job of simulating the brutality of a gladiator's life, and kills have more impact when the victim might actually not come back again.