A lot of Eastern takes on the Rogue genre are a bit like this, since their main characters often aren't generated like Western ones. There's the "Magical Dungeon" series, with lots of licensed spinoffs like Pokemon Explorers (et al), Chocobo's Dungeon, Torneko, and probably lots more. You can probably find a couple for PC.
Azure Dreams was another one for PS1 and Game Boy Color, with a sub-helping of monster taming/collection.
Basically, you get a home base area and you go into particular sub areas and return. Usually you get to keep some amount of items and gear. Dying means you lose everything on hand and expulsion to base. With the money/quest items/loot you get from these places you advance the story and improve your base facilities.

Elona (+) is a freeware bit that feels more about character twinkery than challenge (and apparently takes several resources from ADOM), but it's got a persistent overworld and towns. Death isn't permanent or even overly taxing (or frequent).

Tales of Maj'Eyal (mentioned earlier) also has an overworld that allows for branching stories with different character builds. Its focus is more on getting an effective build than finding the Loot of All-Slaying Power (though there are some things that can help there.) It also has a nice progression for unlocking races and classes, with lots of stranger things tucked behind achievements or sub-story events. You can also unlock a home base there in the vanilla game, though fresh characters still have to be tough enough to gain entrance.