Oh my gosh it happened. I was hoping to keep an unblemished record of not dying but Krusten finally fell to a goblin giant that knocks a big punch. All that when I finished training as a barbarian. *shaking my head*.
I am not sure what you are referring to by "Adventures". Quests are specific missions given to you by someone. Sometimes they can be done more than once and other times just once is all that is needed, it all depends on what the person who gave you the Quest says about it.
You have to make sure you read why you are walking there to answer that question. For instance, if you are in a cave complex then you simply cannot walk out anytime you like… it is only logical that you will have to find an exit out of that cave system.