When I first started playing The Darkest Dungeon, I knew it would be difficult and I heeded the games warning of “your party members will die” similar to X-com The Enemy Unknown's warnings. Death in X-Com is an ever looming consequence, but the luck can sway in your favor through upgrading your characters to make them harder to kill. I spent 8 hours in Darkest Dungeon with this same mindset until I finally has able to keep some of my members alive long enough for them to level up; Only to find that the leveling up doesn’t increase your characters attack, defense or health bonuses. Instead it increases their resistance to becoming stressed out. Leveling up became a nice bonus rather than the main goal that I thought it was.

This realization made me think more about my characters, if their traits weren’t going to improve through experience, then I have be more selective about choosing which ones I recruit. Some characters are naturally better than others, and to ensure success, you must throw out the lesser ones. Darkest Dungeon is making the statement that not everyone is born a hero, and may be destined to fail if they don’t innately possess the right set of abilities and capabilities. Experience doesn’t create talent, it only improves your ability to manage the problems that life throws at you. Despite this, every week welcomes new adventurers, able or not, to enthusiastically face the nearly impossible various challenges ahead of them; You know...like Life.

Yeah there's something really interesting about the way heroes are treated in this game as opposed to others. Iv'e sacrificed a few heroes before so I could scrap up some more gold. Something I would normally avoid in most games.

@irvandus: I feel like Russia in WW2, just through enough soldiers at the problem until I eventually succeed

Levelling them up also allows you to make their spells and abilities more powerful and gives them access to more powerful equipment (the equipment provides you with the stat impreovments the levelling curve eschews)