I think this makes a lot of sense when it is put in context. Early console games were competing against arcade games, and as such emulated that very difficult and short, quick game play.
However, console games have followed their own evolutionary process. With consoles, long term (note, this refers to one play-through) is more important, hence the emergence of extended stories to fuel this. The game became more difficult to proceed per segment, but wouldn't have worked if it required you to sit through the entire extended story again, hence unlimited lives and checkpoints.
I personally favour stories, and so prefer the modern concept of difficulty. However for those looking for a challenge, I do recommend taking on a FPS with one life. If you die at any point in the story, start from scratch. Good Luck!