Checkpoints are fine, even if they're spaced out. Like in Zelda games, if you die in a dungeon, you're put back at the start of the dungeon and that's not too terrible (it sounds horrible in theory when you spent so long being afraid of wallmasters though). Depending on how far you are in the dungeon where the idea of it may be more devastating because that's more ground to cover, chances are you have access to an item or a door or a shortcut that allows for quicker backtracking to the entrance which may make a death less upsetting.
I guess the rule of thumb for checkpoints is how much of a chore it is to get back to where you were. And if it is a bit of a trip back then that should be reserved for late game where you probably shouldn't be dying as much or the challenging aspect of it should be increasing with your equipment. So in Zelda, would be longer dungeons and whatnot.
I can't think of a game where I'm put immediately back to where I died but I'm not sure its necessary in most games that I've played. If you respawn too close to something that killed you, it could kill you again before you even get your bearings. Respawning far enough away gives you a choice on whether you want to confront the thing that killed you again or do something else instead.